What were the effects from the massive rise in Q4 2008 Volatility in on static algorithmic systems, particularly completely automated systems?
Sheez, they sure did have an impact on our datasets.
Lesson Learned...
We have come away with a great lesson from this massive spike in Volatility.
That is, we have found that it is quite easy to build systems that chug along in normal to high Volatility and make more money using the same algorithms, when the Volatility spikes.
Not all strategies and/or algorithms perform better in environments with widely varied Volatility. But, if you can build a Strat that can manage across the Volatility spectrum, doesn't it make sense to lean into those methodologies?
Volatility has dropped tremendously, but there is a high likelihood that it will be back soon and when it does, will your code base be ready?
Hope that this gets you thinking.
