If you revisit my post from 21. January 2010. you may find how five different trend-following swing systems (3 different time-frames) performed during lower market volatility periods, which were defined by 5-day & 10-day ATR.
As we did get some volatility recently (5-day ATR was for total of two days above the mean value – on February 5th and February 8th, 2010) and as several systems I follow have started to perform again closer to their historical averages, I’ve decided to post updated version of the table that was shared in original post.
Trade with trend.
2 comments:
ATR above the "mean" - please explain.
Hello Mekan.
At the Close on February 5th and February 8th, 2010 5-day ATR had value greater than mean (average) for 5-day ATR values which I record on daily basis with data from year 2000.
Hope this helps.
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