these systems require volatility to

    SPY System

    Posted by ruscitti on 7th of Aug 2017 at 05:30 pm

    these systems require volatility to initiate trades.. it's hard to revert to the mean when you are already stuck at the mean

    Thanks ruscitti.

    Posted by peterwelsh on 8th of Aug 2017 at 10:42 am

    Thanks ruscitti.

    It's frustrating I know guys

    Posted by matt on 8th of Aug 2017 at 12:05 pm

    It's frustrating I know guys but it's also common sense regarding the lack of trades in the SPY system this year - been a historically low volatility year as we've been discussing.  That said I do think we'll get a pick up in volatility sometime in later Aug into Sept and early Oct.  There's been years where the SPY system made almost nothing for the first 7 months and then made 30% the last part of the year.  Also SPY didn't catch that last pullback because a filter kicked in that prevented the trade, the filter cut out about 10 previous bad trades so that's why it's in place. 

    Meanwhile the ES system has been better this year, it's currently in a long, probably closing out tomorrow at the close would be my guess.  Anyway very related instruments with but difference prices causes different trades, one system to catch trades at times the other one does.  This year the ES system has been better, other years SPY system is better, it's how the cookie crumbles.  Here's a couple images, one of the ES Pro, and one of ES non pro (without the scale outs) vs SPY, you can see how ES has done more trades this year, again it's how the cookie crumbles

    ES and SPX broke out of the coiled pattern we've been discussing

    No problem Matt. Just curious

    Posted by peterwelsh on 9th of Aug 2017 at 10:05 pm

    No problem Matt. Just curious as to what you were seeing with the system.

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