A.I.M. Users Bulletin Board

[AIMStudent]

Hold Zone v. historic volatility of the underlying

Given there are a number of nobs to turn to effectively change the size of the Hold Zone and thus the buy & sell prices of the next transaction, has there been any investigation into optimizing the size of the Hold Zone v. the historic volatility of the underlying? Perhaps over the past 52 weeks (or some other lookback period) and set the bounds of the Hold Zone based on some percent of the volatility? In testing, I'm seeing some underlyings that begin periods with a relatively high Beta, but then settle into a narrow trading range for a period of time.


Thanks