Interesting... I am having an almost *identical* experience with a very similar algo. I think you're right about the europe effect.
Totally agree. My worst days since August almost always began with some kind of European-driven headline in the morning. Friends trading similar strats have made the same comment.
lescor, Yes, what was the breakdown by strategy? The August/Europe meltdown saw very volatile, up and down market moves but this was on a weekly basis. Intraday moves seem to trend. Could this have been detrimental to your RTM strategies?
How will you know when things have turned around?, will it be another volatility shift event?, if so are you concerned for the future if volatility completey drops off? would you be 'smoother off' if you only traded volatility spikes and was in cash the rest of the time? just a thought. or is this type of equity curve trading to suit easy to say but hard to do in practice? kind regards,
saying that, you mention that the problem could be the current volatility is making everything too corelated. Which means your trading performs better not just in volality spikes but also when your stocks are mixed in terms of corelation.
I had similar problems starting after expiration in July. I dropped all open lope strats because the gaps caused by Europe, I would only do them if there was a non us market gap. I dropped every ADR, and KIE stock. I lightened up on any stock tied to metals. This helped a lot. Anyway NJ on the 200k.
How much was on net?According to my calc here it seems to have avg 1.15 cents per 100 shares. Probably all time low for this strategy?In the good days it was 2+, now the line to unprofitable seems be almost being crossed
I have been publicly stating for weeks and months on end that all financial markets have become correlated to a degree where everything is pretty much euro-usd trading, regardless of symbol. There's no clairvoyance needed for that: every utterance from every financial news channel is totally euro and European fixated. Who cannot see the exact same thing? Heck, who here even recalls what an earnings run, split play or gap play for a stock is any more? With current liquidity and volatility down across the board, swing trading currency markets and/or day-trading the higher beta symbols like TF, CL are the only solid games left to work with. My own workdays now begin at 5am est, an most of the time I'm done with nothing more to do before noon. Like it or not, resist the facts or not, this is a new world order for all financial markets... probable to remain that way.
Lescor, is this still based on roughtly 100k of your capital. What would you say your average capital usage was? (i believe you were using about 1.2mil last year; still the same). thanks! -gariki