LT/ST conflicting situations

[Pascal]

Not sure if this is the "obvious" to which you refer, but there were a string of large winning trades that would have been missed at the beginning of the 2009 bull...just a few weeks after the QE1 announcement.

Attachment 11228

Exactly! Then, the second obvious issue is that the great majority of the LT/ST conflicts are on "buy" signals.
It means that the IWM robot had conflicting situations on buy signals, especially at the start of QE1 and also in the past weeks. The common points between these two periods is the high volatility. High volatility is linked to fear and to better shorting opportunities. Hence, the IWM Robot does not see that at specific points in the market life, high volatility was a consequence of forced shorts covering.

We can see in the list below - from which I erased the short signals - that the average ATR is 3.43% this is 1% higher than the average ATR for the past 5 years. This confirms that there is a volatility interpretation issue.



The question is now: how can we build a filter that would sort out the bad red trades and keep the good green trades. This is where I'd go to Andrei and ask if he has in his tool box some sort of indicator that can do such a job.

I found such a filter and used it to build another column.



I then sorted the results, seprating the positive from the negative of this new filter.
I believe that we now have an improvement over the existing IWM Robot, that takes care of Buy signals in high volatility environments.




Pascal