A simple filter can move probability in your favor. Just picking entries at the higher regression levels, would have been profitable. The EMA filter is the most crucial filter, since its dynamic.
Good question, Al There are always certain junctures in the market that are more critical/ sensitive than others to a significant move. I don`t think that just being limit down at a random point in time at a random location on the charts justifies protecting.. but at the "meaningful" juncture in the context of the game has 10x the impact. A fair metaphor would be an American style football game.. Where Team A receives 12 flags/ penalties against .. Team B receives 7 Flags/ penalties against... It appears Team B had the benefit of the calls & were favored by the stripes/ refs but that 1 critical call or missed call against Team B changes the entire complexion/ momentum & outcome of the game because of where & when it occurred during the context of the game... It`s the one that actually changed the game & mattered most! Secondly, I think that we all can acknowledge that there are Gov`t forces in the markets to prevent free fall panic situations, as George Stephanopolous exposed in the late `90`s, something that most of us that watched their screens all day, already knew... In order to prevent situations like `29, `87 `98, etc... That`s another discussion for another time.
The mandate of the President's Working Group on Financial Market is extremely broad and ambiguous. It's primary mandate is to maintain investor confidence. Yellen/Obama used this mandate as a political tool to elevate markets. Suppressing vol became the go to trade of the NY Fed and led what unfolded in early February under the new sheriff in town. I was struck by a particular statement Powell made during his recent testimony before the Senate. In response to some question he answered and added that it is not the Fed's job to see that investors are protected from losses in the market, and he repeated for good measure. I don't see the ppt being as active going forward and a return to normal volatility, two way market.
Dodd Frank regs removal will also bring in more vol. Just in time so retail can be left holding the bag. https://corpgov.law.harvard.edu/2010/07/07/summary-of-dodd-frank-financial-regulation-legislation/