Monday, October 26, 2009
ALSI daily range
During last several months, most of the systems that are traded by members of some South African web based trading communities are producing very different results when compared to their historical performance. Systems are based on moving average crossovers or penetrations on different time frames, including 5 and 15 minutes. Idea behind those systems is to catch 2-5 days long directional movements and to score as many points as possible. Somewhere in May number of points won by systems dropped significantly. What can be the reason for that?
Picture on the top clearly shows that daily range (High to Low) on ALSI dropped from around 900pts a year ago to 500pts at present. On the top of that, from mid Jun ALSI had only 6 (SIX) trading days when daily range was above average for the year. Best part of last three trading months daily range was bellow first standard deviation.
This can be one of the reasons why systems are not behaving like they did, but probably not the only one.