Volatility Filter

I see..thanks for the clarification...to clarify the purpose of my thread - I was interested in what are the methods to use volatility to filter out mega turbulent times... A simple rule as one below can be a good starting point:

IF CURRENT TR= ATR + N STANDARD DEVIATIONS => STOP TRADING (AND...GET SOME SLEEP

 

can you please refer me to the document you are speaking of? thanks!

 

I used to change position size based on volatility (usually ATR) but this past month I kept my position size constant and all my systems/edges were at least 100% more profitable than the months before.

So for me, I'm going to embrace this volatility and profit from it while it lasts. I have extreme confidence in my systems as I've rarely had a losing day this year.

So, that's just another point of view.

 

thanks for your opinion! it would be interesting of the system components that you use

 

Journal of Portfolio Management if memory serves, can't remember the year. The paper was called "The Fundamental Law of Active Management". The work is reproduced in his well known book with a co-author:

http://books.google.com.au/books?id...a=X&oi=book_result&resnum=4&ct=result#PPP1,M1

 

three words, look at chart.

 

I have found during extensive testing of different systems that looking at chart is best substituted with a rigid computational algorithm...in short - allow your pc to do the looking - that is, encapsulate your logic into a set of rules that the computer can evaluate objectively.