I did some analysis going back quite a while ago (2 years ago!)
that the mechanical systems perform only when VIX is >25. I had
an auto switch off in my coding when VIX reached 25 so for quite a
while now, I haven't ran any of them. Infact I need to make sure i
haven't lost them in TS with the # of times the platform crashes on
me!! Will recode if needed. Won't take long
To cut a long story short, you might want to consider revisiting
these now that VIX is approaching 25. I would probably re-optimise
given the gap since they were last traded but at some stage soon,
if Volatility continues to rise, these systems should be back in
play
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Mechanical Systems
Posted by vimal on 16th of Mar 2011 at 06:23 am
Matt
I did some analysis going back quite a while ago (2 years ago!) that the mechanical systems perform only when VIX is >25. I had an auto switch off in my coding when VIX reached 25 so for quite a while now, I haven't ran any of them. Infact I need to make sure i haven't lost them in TS with the # of times the platform crashes on me!! Will recode if needed. Won't take long
To cut a long story short, you might want to consider revisiting these now that VIX is approaching 25. I would probably re-optimise given the gap since they were last traded but at some stage soon, if Volatility continues to rise, these systems should be back in play