I went to the cash S&P 500 Index from 2003 through June of 2007 together with calculated that the median weekly high-low cost hit was 2.09% (mean 2.32%).
I thence looked at the *daily* high-low hit for $SPX from July, 2007 to the introduce together with flora that the median was 2.63% (mean 3.58%).
The discrepancy betwixt the hateful together with median for the recent daily fourth dimension menses indicates that nosotros convey had a release of outlier, high-volatility days that convey skewed the average upward. This skew was less pronounced during the before period.
Bottom line: a unmarried day's trading hit inward the S&P 500 Index is at to the lowest degree 30% larger than a week's trading hit from 2003 to mid-2007. When nosotros reckon those outlier days, we're getting an average of 50% to a greater extent than volatility per day than nosotros used to brand it an entire week.
That has existent implications for the sizing of positions together with the ask for tight adventure management. As nosotros saw belatedly this afternoon, an hr inward the introduce marketplace set tin brand all the divergence inward damage of entries together with exits.
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