Systems that adjust for changes in volatility

[TWI]

I have spent a lot of time experimenting with dynamic bands for range trading and breakouts. As ever it is something that takes a lot of time and often complicates code considerably. The problem is I have not found anything that consistently betters constant values.
I have been on many hopeful paths finding solutions that work nicely for a particular system on a particular market but when applied across a portfolio of products/systems these produce no improvement.
Just an observation.

 

[trendie]

Are you saying that complexity does not add value ?
Are you saying simple rules are not appreciably better than complex rules ?

 

[TWI]

I am trying not to say anything about complexity just the fact that as far as dynamic bands are concerned I have not found anything that works consistently in mechanical systems. I read a lot about the use of ATR's in previous threads on these boards and would certainly be interested to hear from those that find these of use to adjust entries because they will have found something I have not.

 

[mr_cassandra]

adjusting for volatility

I've had to do a lot of work in my program on this type of subject because of vix' tendency to dramatically change operating ranges. IE 50 is high one year, 20 can be high another.
I have used 200 day lookbacks, position in past year range as well as % change ma now to then. The most productive results have come from using various indicators that don't draw from the same source though; to cross check each other..
Example mclellan summations versus vix level. Another example, a truly high vix reading should be accompanied by a surge in net new lows.

I have spent a lot of time experimenting with dynamic bands for range trading and breakouts. As ever it is something that takes a lot of time and often complicates code considerably. The problem is I have not found anything that consistently betters constant values.
I have been on many hopeful paths finding solutions that work nicely for a particular system on a particular market but when applied across a portfolio of products/systems these produce no improvement.
Just an observation.