Looking further into my system I see that during periods of low intraday volatility, ATR, daily range, it doesn't work so well. It hurt to see that. This sucks as it looks now looks like the market is going toward low volatility/ATR. I don't see much opportunity with these flat days, at least with my method. I don't do overnight. Why is it so hard to design a strategy that will easily extract huge quantities of money from the market automatically in all conditions?
Just like the day follows the night, volatility will come roaring back. It's taking a little breather that could last few more months, which is quite normal from a historical perspective.
A few more months doesn't mean we won't see several 25 - 35 point moves in a day. They just won't happen as frequently as we all wish until sometime in March.
Design two strategies...one for normal to high volatility market conditions (seems you already have one) and one for low volatility market conditions (your missing piece of the puzzle).
Well my system is on the Q's. Any suggestions for something more volatile that might act similarly intra-day?
Incorporate a short gamma element that turns itself off when vol spikes and your system can take over alpha hunting during high vol days/periods.