I don't know if this should be in strategy development but here goes... One of my strats does great from the beginning of the year but from June 10 onward it takes a nose-dive. The strat is intraday only on the QQQ's and involves trying to buy bottoms and holding on for a set profit or loss. I've looked at daily true range, volatility, the VIX and volume but none of them show any change in June. August yes, but not June. Basically it seems that in the second half of the year there was no follow-through on mini bounces intraday. The strat made 63 trades and the first 27 were great, then they sucked. Anyone have any ideas? Help! Maybe I just need to stop using the strat when the trendline of my equity curve gets broken? Maybe I've found a great indicator of future volatility? Maybe I'm seeing distribution by the big boys?
Idle speculation, but it probably coincided with the end of the QE2 trade and the onset of the headline driven market (with all of the news about the Eurozone crisis).
Thanks for the idea. Something like that should show up on some TA though no? Don't tell me I have to pay attention to fundamentals!
volume is much lower than before 08. lots of players out. thats why TA does not work that well. Increasing size may trigger your system will finish you off. i learned this : master good system that is not easy to replicate. Enter trade at market. If anyone follows your orders, you will benefit of that. Else you start noticing that entries are missed etc. Paranoid ? Maybe.
========= a]Trend currents; yes ,good points on cutting back when the e- trend line changes. b-50]Dont know about your VIX; but $60 area is all time 50% level off , all time QQQ high of $120 area .. c]Plenty of QQQ buyers & sellers went into gold,GLD, silver,slv; plus plenty of buyers stopped buying after QQQ went/persisted below 50 dma in MARCH d]Yes its disribution, QQQ is below 50 day moving average; but long story short,QQQ has more probable risk long or short now.[Mainly because DEC has a lower monthly hi & DEC made a higher monthly low. I prefer a good downtrending short like BAC, or C, even with single stock risk; or a longtrend like gold or GLD........... Thats wisdom. Speaking of wisdom,PIGS can fly; but IBD measure of 200 day moving average on QQQ is sideways slop & chop.Since you mentioned longs, preferlong gold or GLD. Did i mention Japan bear slapped C, Wall Street Journal noted lately. Thats wisdom, not a prediction. Merry Christmas, unless you work @ BAC.
June 7 2011 The Federal Reserve has done more than enough to get the economy back on track, and it will do no more, a top Federal Reserve official said in an interview Tuesday. Federal Reserve Bank of Dallas President Richard Fisher said that when it comes to the central bank bond buying program referred to as QE2, âitâs over at the end of June,â as planned. âMy vote will be not to extend it, and I doubt there will be much discussion about extending itâ among other policymakers, Fisher said. ^Maybe this helps explain it.
Not knowing the details of your strategy I can't answer this myself, but have you been able to rule out the first 27 "great" trades being anything other than just luck? If it was just luck, it would be pointless to look for a "reason", because the reason is just that the probabilities/luck came out differently for the next 33 trades, rather than that anything significant (as far as the strategy is concerned) changed in the market. After all, 63 trades is not a huge sample. Were the 63 trades so far this year actual historical trades, or backtest results?
The market topped right before that time. A volatile sideways market began. A system that works well in a bull market may not work as well in a volatile sideways market. Solution: learn how to gauge the general market conditions and switch off this particular system when conditions are volatile sideways, back on when a bull market returns.
read about market sentiment.. http://bigcharts.marketwatch.com/quickchart/quickchart.asp?symb=qqq&insttype=&freq=1&show=&time=9 http://en.wikipedia.org/wiki/Market_sentiment picking the bottoms,buying gaps down etc usually works when sentiment is bullish.