Here’s the results of the optimization on 200k
Thanks Francesco
I note the results from the system cratered in 2008/09. I was thinking about how the scaled price is calculated. It takes the average of the n highest and lowest candles over the ‘n’ period. If volatility increases (as it did back then with huge whipsaws on the way down) then the price above/below the SP average and moving averages could be pretty meaningless; ergo, could a volatility filter be added or optimized that either stops trading during highly volatile periods OR reduces the bet size down?
I know the market guys I use have a ‘risk range’ for their ETFs etc that looks like a Bollinger Band for a high (sell) and low(buy) price – but isn’t. What their risk range takes into account is the 3 major variables, being Price, Volume and Volatility. Their argument is that by traders’ using Price alone (90% of technical traders) that they are missing out on including two other important factors, ie volume and volatility. So you identify the ‘trend’ either using MAs or HH, HLs etc and then trade with the trend using the risk ranges to both enter and exit trades. I’m leaning towards the volatility element maybe coming from implied volatility in the options market- so I guess out of scope for ProRealTime!
I have tried, and so far failed, to come up with an indicator that wraps around price, that takes these 3 variables into account, but I’m keen to develop one here if anyone has any ideas – that way it could be added here.
