Some interesting stats

Over last couple of days on some Internet chats story about volatility came up again. People are complaining because there in no enough volatility and they can’t make money. Daily range on ALSI is steadily declining and if we take last month into consideration it is well bellow the average.

So, I did some small exercise to find out how many points were available over last four years:

Year      Amount of all points available – Top40          Daily range
2007                   111.395                                               464
2008                   175.971                                               733
2009                   118.814                                               495
2010                    97.297                                                405

Number of points made (as percentage of total points available) by one of our systems is declining slowly from around 17% to 10.2% currently, so we are getting declining monthly returns. Reason for that is most probably lack of follow through over last 18 months or so.

So, question that I want to ask - Isn’t maybe time in South Africa to start considering intraday trading (like in US)? If you can make 20% of daily range every day you will easily beat probably all systems.

Trade with trend!