Best Performing Strategies, share your thoughts...

Discussion in 'Strategy Development' started by xbaha, Jun 2, 2011.

  1. xbaha

    xbaha

    The main point of this thread is to share my, and your thoughts about strategies, and why they fail, what makes them good.

    the main objective of designing a strategy, is to make it profitable, and to do so, you have to design it based on few points, mainly:
    1. technical analysis
    2. chart pattern
    3. human physiology
    4. fundamentals

    now, put in your mind that all the market elements, weather it's stocks, futures, fx, etc.. they all should follow the 4 points mentioned above, meaning, if you design a good system, it is supposed to perform well on all markets, under all conditions!

    now, i have done some research, i ran systems that performed extremely well under e-mini's on fx, and shockingly, they were not even profitable!

    well, maybe the systems were over optimized over the e-mini's, so i gather few systems, for instance:
    1. trend following system
    2. counter trend systems
    3. chart pattern systems
    i made sure there are no optimization values, and ran them on e-mini's where they performed at-least ok, then ran them on other markets, yet the systems shows variety of results, mostly were bad and non profitable!

    now the question that is popping in my mind,
    does the e-minies traded by humans and fx traded by aliens???
    what are the elements that makes the , i.e. fx chart totally different in all means of concepts from the e-minis???
    should i run my system in totally random series as a point of starting on designing a good performing strategy???

    let me hear your thoughts, and thanks all for sharing.
     
  2. absolutely not

    fundamentally FX is less of a segregated market.. AUD/JPY during Sydney/ Tokyo hours is moving based on local participation and fundamentals while during NY hours its liquidity is coming as a cross from aud/USD - USD/JPY..

    emini -(ES) can make big moves after hours but the real action is dependent on the NYSE open

    i worked as a consultant for a quant fund that traded index futures and while the system generated signals around the clock.. trades were only taken during local market hours..

    you might consider reviewing your system / optimizing for entries/exists only during peak hours of fundamental liquidity
     
  3. Human physiology?
     
  4. Bowgett

    Bowgett

    Yeah. You know that taller people make more money on average for example. So I assume taller traders develop better strategies :confused:
     
  5. I would take issue with your statement. some would argue aliens are also active in the emini market.
     
  6. xbaha

    xbaha

    OTCkrak:

    >>>fundamentally FX is less of a segregated market.. AUD/JPY during Sydney/ Tokyo hours is moving based on local participation and fundamentals while during NY hours its liquidity is coming as a cross from aud/USD - USD/JPY..

    emini -(ES) can make big moves after hours but the real action is dependent on the NYSE open
    ====================================

    it's the same concept, not necessary your strategy is an intra-day, my subject goes also for daily.

    you can also use intra-daily where liquidity is available.

    but in all cases, using daily data, what you have developed to work on one market would rarely work on another...

    is this your only reason why it wouldn't work??


    thanks for sharing
     
  7. xbaha

    xbaha

    i meant when markets make fast big moves, the reaction is totally out of technicality, it's all about fear or greed, where big balls take the opportunities...
     
  8. Xbaha,
    I have been writing trading strategies for about 30 years now. I will tell you the secret – not all price data is the same. That is why most strategies do not work in other markets or time intervals. Unless a strategy trades, at minimum, very basic trends it does not have a chance of working with multiple types of price data.
    :D
     
  9. xbaha

    xbaha


    so this means that strategy must be written and optimized specifically to the current market its traded on, right?
     
  10. Bowgett

    Bowgett

    May you meant "psychology" then.
     
    #10     Jun 2, 2011