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Old 03-15-2008, 10:03 AM
darthtrader darthtrader is offline
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Re: Today Was Very Hard for Me.

This is where I think it makes sense to try to get an understanding of how your setups work in different volatility environments. I don't see how you can beat monitoring the VIX for that. I don't see how you can really expect to trade the same if the VIX is at 15 vs it being at 30.
With higher volatility you almost have to expect to use bigger stops but hunt bigger game, otherwise your stops will seem like magnets just from price wiggling around more than normal.
Here is a 30 day and 1 year chart of the VIX with a kalman filter to get a picture of the trend. kalman filter is like a moving average for noisy time series so its a pretty good tool for the job. You can see yesterday was one of the super high volatility days in the past few years actually. The volatility trend is still up so you really do need to adjust for this.
Attached Images
File Type: jpg vix30day.jpg (69.2 KB, 17 views)
File Type: jpg vix1year.jpg (62.5 KB, 19 views)

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