Forgive me here, I'm a bit new to algo trading, but not coding. I had build a couple algos that work based of of momentum indicators (RSi, Stoch, and EMA), with some great results especially off the EMA with some other tweaks. However, I've notices since mid September, everything has been (for lack of a better word) fucked. Am I the only one that has found this? Or have there been some big shifts in momentum consistency as the election moved closer? Input would be greatly appreciated. I was doing double digit returns each month before, and now I'm lucky to be single digit down.
I have models that have worked very well in the periods you mention. How long did you simulated your algos on ?
And was it the backtesting months that worked well and then you went live market that didn't work well?
Some observations a) momentum hasn't been great generally, so you're not alone (I lost money in Sep, Oct and so far in November) b) you have highly unrealistic expectations of performance consistency. No trading system will make money every month or every 3 months, or every year THis is especially true for momentum "I was doing double digit returns each month before, and now I'm lucky to be single digit down." this is classic momentum you lose money gradually and make it back quickly (positive skew of returns).. c) as others have indicated it might be that you have overfitted your trading system and it just happened to do well after you switched it on ("with some other tweaks." : suggests overfitting) d) you are taking on way too much risk. "double digit returns per month" is far too aggressive to see regularly in gains or losses. GAT
Price action on equity futures past few months have generally been pretty lousy....a few bright periods amid a lot of thin chop.
Always slows down into xmas sadly and August holiday season. January goes wild, wouldnt worry too much still positive right, sit it out wait for momo to pick up.