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Re: A Mechanical Strategy Journal
nickm, could you comment on this:
I show the Russell contract in 2002 trading under 1400 contracts per day. (ie er2h06)... and under 10,000 contracts per day in 2003 (ie er2h03).... 2002 had good 'range' as the market was in freefall but 2003 & 2004 show about 1/2 the range (ATR) of that achieved by the completed Sep 2007 contract (15 pts vs 6-8 pts)... tick values are the same so todays contract is quite juicy compared to just 5 years ago. pretty amazing. in you opinion, is it valid to use strategy results from 2002 when the market dynamics (virtually non-existent volume and 'dollar value range') were so different?
seems to me like growth of futures contracts traded changes the futures market quite fundamentally. you simply couldn't have many traders operating with only 1400 contracts traded per day to work with.
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