There you go again Cheese. Hiding markets secrets out in the open, in full view; where you know full well that only a very few people will ever discover them. regards f9
As usual, a thoughtful post from cheese(dick). Cheese, for 5 years I have read your posts and the constant theme is "the money is in the gyrations". Yep... that's right pal, in the gyrations, whatever the fuck that means. The market moves and you make money, what a unique and novel concept !!! You sure do know your stuff when it comes to defining volatility as 'gyrations'... And we all know, as you have said some 1000 thousand times, that ET'ers will never make themselves rich while you are making money 'day-in and day out' and 'open through close'. Yep, those gyrations, datasets and metrics are the "concepts" one should know when forecasting vola... for a second there I thought you were actually going to post something insightful and informative, but who am I kidding, someone with a "professional" background probably doesn't want to talk about GARCH or cauchy distributions or ASAM's... nope, lets talk about 'gyrations' and how ET'ers will never make themselves rich. Has the sarcasm sunk in yet? Good. To the OP, volatility can be forecasted with very high accuracy. I recommend you read Taylor's Asset Price Dynamics, Volatility and Prediction http://press.princeton.edu/titles/8055.html for a good introduction. Regards, Mike
You must tell me some day how you intraday trade (profitabily that is) without trading in favour of the price waves. I am not remotely interested in your system, just your thoughts on how to avoid intraday price waves and still consistently make money. regards f9
Don't know anything about prediction... Many situations can precipitate a volatility expansion... Bollinger Bands can describe one of those attributes...
When you say 'in favour of the price waves', I'm not exactly sure what you mean... "Price waves" as a term does not mean that much to me. Price deviations/extensions are what I look for. My methods try to capture two variations on a theme, mean reversion and volatility breakout. Mean reversion is simple, but it takes a ton of quantitative analysis. I wait for price getting "too high" or "too low". I use quotes because the challenge exits in where exactly those price levels exist. A good understanding of volatility is essential to roughly estimating those extended areas. Also, In general, I am a buyer when I see too much selling and a seller when there is too much buying . Again, the devil is in the details - what is "too much" in these cases? That's up to you to analyze and define. Again, one of the concepts behind GARCH, i.e. volatility being a mean reverting process is useful here. Any intraday system needs to be aware of the recent changes in vola. Volatility breakout is slightly more complicated (Catalysts and subsequent gaps are good starting points.), but it essentially follows the same rules as above, except opposite actions apply in terms of trading. Mike
Mike If you are not familiar with the quite common term "price wave", then why the sudden burst of sarcasm at Cheese when he refers to the waves as gyrations. Would it not be better to try to understand the other person's terminology first before showing yourself up to the Readers of these posts. Price moves in waves during the day ( some obviously greater than others) and the sum of the waves always exceeds the range of the day (otherwise there could be only one wave per day) This wave-like action offers Intraday Traders several trading opportunties each and every day and if they are clever and skillful, it greatly diminishes risk whilst leaving rewards intact. regards f9