Thanks to some prompt replies from erierambler I’ve made very good progress on an SP500 emini system I’ve developed.
I’m interested in something else though. To a certain degree my system is based on the lower volatility of the past couple years. I’m interested to see in getting a general idea of how it would perform if we were ever to return to higher volatility levels.
Is there any way of finding out what the average one day trading range was for each year going back to the emini’s conception? In other words, last year might have averaged 9 points each day (I’m just making these numbers up), 2004 might have 10.3 points etc. Does anyone have info like this, or know where I could get it?
I’m interested in something else though. To a certain degree my system is based on the lower volatility of the past couple years. I’m interested to see in getting a general idea of how it would perform if we were ever to return to higher volatility levels.
Is there any way of finding out what the average one day trading range was for each year going back to the emini’s conception? In other words, last year might have averaged 9 points each day (I’m just making these numbers up), 2004 might have 10.3 points etc. Does anyone have info like this, or know where I could get it?
