yes volatility is the key word for these mechanical systems
under which they perform very well based on historicals. From my
analysis, they need to have VIX > 25 to perform profitably after
you account for commissions and slippage. Under 25 and you won't
make any return...as I say, based on my analysis which may/may not
be correct
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yes volatility is the key
SRS 15 mins
Posted by vimal on 13th of May 2010 at 03:46 pm
yes volatility is the key word for these mechanical systems under which they perform very well based on historicals. From my analysis, they need to have VIX > 25 to perform profitably after you account for commissions and slippage. Under 25 and you won't make any return...as I say, based on my analysis which may/may not be correct