Trading: Choppiest environment in 50 years !

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Old Dec 10, 2008, 4:24pm   #21
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BSD started this thread "THE VOLATILITY BUBBLE -- AVERAGE DAILY CHANGE NOW ABOVE 4%!

A couple of weeks ago, we did a post showing that the 50-day average daily change of the S&P 500 was higher than at any other point in the index's history. After yesterday's close, another record was eclipsed when the average daily change moved above +/-4%! As shown below, this volatility blows away even the highest levels reached during the Great Depression.

Up until the start of 2008, a daily move of 4% in a 50-day period was noteworthy. From 1945 through 2007, the S&P 500 had 49 one-day moves of 4% or more, which is an average of less than one per year. This year we've had 28! For a market as big as the United States to average a 4.02% daily change over a 50-day period is truly astounding. This is the type of volatility that we see in frontier and emerging markets -- not the biggest, most developed market in the world. The volatility bubble won't last forever, and being long it at this stage of the game is a very risky bet."


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Bespoke Investment Group: The Volatility Bubble -- Average Daily Change Now Above 4%!
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Old Dec 10, 2008, 5:43pm   #22
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Nice chart. Most people dont realise the historical magnitude of this volitility.

As traders, it's huge because trading strategies may have been working for YEARS until recently. Stops get triggered 10 times more and you get whipsawed to death. Option strategies get thrown out of wack because of the extreme moves in IV.

Damn it, back to the drawing board for a higher VIX DT system that I can turn on in these type of times.
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Old Dec 13, 2008, 5:36pm   #23
 
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looking for backtesting software

hello,

I am a trend follower on us stocks and would like to backtest my strategy.
I am unfortunately hopeless at programming.
Could you give me a software I could use.

Thanks

florian

versailles

france
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