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Old Mar 11th, 2012, 03:45 PM   #1
gmailer
 
 
Join Date: Aug 2009
Posts: 10
Hello guys,

How do you deal with "universality" of your systems? Do you think system should be good at all markets(or at least as many as possible) or can it be good only at one?

I have few trading systems designed for forex. But I have following problem - some of them look great on EUR/USD but completely suck on GBP/USD.

Should I worry about that? My intuition tells me that system should work good on many markets - this means it is not "tailored" for one market/curve. But my experience shows me that my systems tend to look different on different pairs. I use 5000 periods - intra.

What is your opinion on that? Is it normal that system works in different way on different pairs? Or should I worry that system is not as good as I thought?
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Old Mar 11th, 2012, 06:53 PM   #2
futurecurrents
 
 
Join Date: May 2002
Posts: 6,764
Since we can't even expect any one strategy to work all the time on even one market, I feel it's too much to ask for one that works on all at all times. Each market has it's own particular rhythm I think, and even that changes with time. My suspicion is that strategies adapted for the particular market and it's current condition will outperform a more generalized strategy. But I'm still learning so..... FWIW.
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Old Mar 11th, 2012, 07:12 PM   #3
vikana
Moderator
 
Join Date: Apr 2001
Location: California
Posts: 1,575
Quote:
Quote from gmailer:

Hello guys,

I have few trading systems designed for forex. But I have following problem - some of them look great on EUR/USD but completely suck on GBP/USD.

I've actually seen that many times. GBP is just different for reasons I don't understand.
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Old Mar 11th, 2012, 07:22 PM   #4
braincell
 
 
Join Date: Jul 2011
Location: inside your bubble
Posts: 551
It's ok to design systems for a single instrument, and not worry much about if they don't work on others, imho.
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Old Mar 11th, 2012, 08:48 PM   #5
Wide Tailz
 
 
Join Date: Sep 2011
Location: California
Posts: 1,953
My opinion: I see wildly different price action over different stock sectors and have also noticed the GBP difference in currencies.

Some markets are too noisy for trend following strats, but they're great for range algos. I don't see the logic in discarding a strat that works well in one area because it won't work on both. You have to target your service to the right market.

This can also go for times and time frames, as well. One of the classic tactics of trend following was a volatility filter to turn the system off if the market was too wild. The demo for Trading Recipes shows this in action.

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Old Mar 12th, 2012, 04:54 AM   #6
gmailer
 
 
Join Date: Aug 2009
Posts: 10
Thank you all guys. So it looks like I worry too much.

My concern was following - if system does not work on many markets(different environments) how can it survive on one market for a long period of time in future? I mean my market can change in future - right? So if it works on many markets it could survive changing environment on my market(EUR/USD).

System is trend following - breakout above/below highesthigh/lowestlow. I thought that such a very basic concept would work in similar way on different markets - but apparently it does not.
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