Here we are into the homestretch of the trading year and volatility is frighteningly anemic. Meantrades just doesn't perform well on an intraday basis without those sharp swings between support and resistance. Taken about a 20% hit the past 2 weeks and am considering waiting it out a few days, even weeks, until the volatility returns. I feel fortunate I can see a link between the system results and a precise metric. However it still does not change the fact that market conditions are not ideal for a system which buys volatility.
Until I see a decent uptick in the 3 month ATMF volumes, I am going to trade the weekly version of meantrades where at least I know the markets can trend long enough to see some gains.