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Given when backtesting we can see certain strategies perform erratically according to the phase of the market being tested, would anyone like to speculate or even suggest good ways to define the overall market trend?
Got a variety of strategies that I'm pretty sure haven't been over optimized which just tank in situations where I believe market conditions change. Tried using ADX and ATR to identify and avoid trading those peroids but it isn't having the desired effect.
Any contributions appreciated, even horrible ones PEACE
Can you help answer these questions from other members on NexusFi?
We have had a few threads in the past that went into this topic. Try searching for any thread with the keyword "volatility" over the last 24 months. I forget the specific ones, but there were a few that myself and other contributed to that had a lot of the blocking and tacking aspects that I think might help you.
Bets of luck!
Ian
In the analytical world there is no such thing as art, there is only the science you know and the science you don't know. Characterizing the science you don't know as "art" is a fools game.
trend is simple to determine you don't need any indicators...
UP trend = Price making Higher High's and Higher Lows
Down trend = Price making lower lows and Lower highs
Tight trading range/range/chop = No new lows or highs being established
-P
"Truth is not what you want it to be; it is what it is, and you must bend to its power or live a lie"-Miyamoto Musashi
Appreciate all the feedback as always, it's always good to hear what people think.
Because I'm trying to build a mechanical trading system, and have come to the conclusion that rarely (never in my case) do strategies work in all market conditions, I'm really keen to see if there's a indicator based method of filtering out the time periods in markets where conditions aren't in a trending state. Potentially Darvas Boxes and the 'Swing' indicator prebuilt into NT8 could be useful as well as those metioned.
Consider checking out Van Tharp's book, The Definitive Guide to Position Sizing. There he uses his System Quality Number (SQN) and applies it to the daily price moves with a length of 100 days to assess market trend. You'll probably want to consider market direction (trend) and volatility as two separate metrics that together define the type of market. The book gives more details.
PEACE
