wrbtrader
Registered: Feb 2010
Posts: 1295 |
12-24-11 12:18 AM
Quote from braincell:
...This december i've seen more automated strats (futures) fail than other months historically. Not mine, but other people's. Maybe the market is really weird for some of the bots right now. Who knows. There's many ways to judge the robustness though. You can look at where the trades are falling within the distribution of the backtest and forward test and if the mean center of gravity starts going weird, or stddev is way off, it's a different problem and a warning.
Switch it off and paper trade it for 20 days, see what it does.
Although I myself do not use automation trading nor mechanical system (I'm discretionary trader)...I do have a handful of personal friends that are automation traders. Most of them have said their systems do not perform well (performs poorly) in December most of the past 10 years.
Further, most of them have stated they do not trade at all in December because of what their backtest have shown them. Simply, December is one big vacation month away from the markets for them.
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