Average True Range at multi-year lows

Discussion in 'Technical Analysis' started by futurecurrents, Jun 22, 2005.

  1. If you wanted volatility why not trade oil, euro, or the long bond even....quite a bit of volatility there over the last 6 months.

    No reason to hang around where your system(s) don't play well.
     
    #11     Jun 23, 2005
  2. msprofitable

    msprofitable Guest

    For the year, the daily range is about the same as last year.
     
    #12     Jun 23, 2005
  3. Yeah, but probably over half of the high volatilty days for this
    year came around April.

    Every days range was like 20pts.

    Would nice for it to spread out a bit more evenly, makes
    catching those breakouts a bit easier.
     
    #13     Jun 23, 2005
  4. Prevail

    Prevail Guest

    Agreed, this year's atr is much lower than last years.
     
    #14     Jun 23, 2005
  5. One big problem that none of you are taking into account with regard to volatility is that there is "good" and "bad" volatility. By this, I mean, throuout the '90's volatility may have been low in many cases BUT the likelyhood that a down day would be followed by another down day was very high. The same persistence for successive up days. Even in the high volatilty of the late '90's-2002, that ''persistence'' existed. It is NOT the case today, and this is why most hedgies/funds are all having a hard time trading this market.

    Today, an up day is likely followed by a down day and a big range day is likely followed by a narrow range day and so on. Just very frustrating to trade.
     
    #15     Jun 23, 2005
  6. Prevail

    Prevail Guest

    This is a very good point. I wrote a system which did very well for many years and crumbled with this new development. I think it is possible the situation will reverse when the vol begins to rise again.
     
    #16     Jun 23, 2005