When I first became interested I was writing systems on wealth lab's free site. It allowed me to experiment with the idea of systems and automated trading to see if I liked it. After I decided to try some real time systems trading I chose to open a forex account. Being a 24 hr market with round the clock liquidity is seemed ideal. But when I opened my forex account, I found that the systems I had written failed in the forex market. I tried my systems and those of other members, but I found that only a few of them would even back test successfully after adapting them. Meanwhile new ideas that I had would be successful again on wealth lab and not in forex. I know that wealth lab's site only offers backtesting, and backtesting is not indicative of actual results, but is it possible that some markets may be more predictable than others? I know it could also be because I have much more experience in the equities market that I have an easier time writing scripts for it, but I was wondering if anyone else has found some markets better than others for systems trading?
Only "statistically sound" strategies that back-test well... AND have a rational basis in reality... Have any chance whatsoever of continuing profitable performance into the future. If you do not have a solid backgound in math and feel for stats... You are wasting your time... there is no substitute. Did you finish 1st in your class in math when you were 15??? No? Because the guy who did is your competition? There are many, many ways to come up with statitistically fallacious and useless strategies. Most "software products" out there do exactly that... Because the point of these products is to GET IT'S HOOKS IN YOU... Then get you to trade, trade, trade... Until the securities racket has a piece of your wallet... and a piece of your soul. Greed minus Brain = Securities Industry Profits rm+
Did you finish 1st in your class in math when you were 15? No, I started school at 18. Greed minus Brain = Securities Industry Profits That equals to Brain = Greed - Securities Industry Profits Then, I know how to increase my intelligence by having a lot of Greed and less Securities Industry Profits. To increase Greed is ok but the second part is hard to achieve, how to decrease the Profits of Wall Street firms?
my opinion: Currencies are damn efficient! I have systems that work on stocks,bonds, commodities, real estate - and most do not on currencies. I know several currency traders (discretionary traders) that perform well - so it should be possible - but automated? maybe not. The mainproblem in backtesting is (especially wld): Most system are mean reverting systems where you should get a fill where you would not have! Because of a lack of liquidity or a data failure. You have to forward test things. May I add something: I was Nr. 1 in maths. But most quants work on things that perform well with very small risk. If you will risk a bit more you find enough playgrounds to profit without being statistically/mathematically versified. But basic knowledge is needed.
It is absolutely, undeniably true that some markets have been much more profitable for automatic trading strategies than other markets ... ... in the PAST. But the big question is, will things remain that way in the FUTURE? Will the Dax and the Bund and the CAC-40 remain at the top of the list? Or is it merely an accident of history, a fluke, a random occurrence that they were profitable in the past? Different people have differing opinions. Whose opinion do you want to bet your money on?