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The effects of Quantitative Easing on systems design


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FABRICATORX's Avatar
 FABRICATORX 
San Tan Valley, AZ/USA
 
Experience: Advanced
Platform: NT7
Broker: IB, Tallinex, & 10 others.
Trading: Futures
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I am working on a few strategies, and noticed a trend.

This is in /ES

Certain systems worked like a champ, until the end of 2008.
For example, fading the opening gap had an 80% success rate, then come 2008, it dropped to 65%, and has steadily dropped to where it is now, at 55%.
Other systems were worthless, until the end of 2008.
For example, the opposite of gap fading. If opened gap down, go short; if gap up, go long. 20% success rate then, now at 60-70% success.
So my question is, what happened to market behavior that made this happen? End of Q3 '08 is when quantitative easing started. What kind of medicine did the Fed give the market?

Other systems developers, have you noticed a similar shift in your P/L at that time? @kevinkdog


-Jimmy
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