Does a winning strategy have to work in all markets ?

Discussion in 'Strategy Development' started by M Jared, Oct 27, 2009.

  1. M Jared

    M Jared

    Hello All

    I have recently been successfully trading for 7 months after 4 years of back testing,6 months of forward testing and now 7 months of actual trading

    I am seriously thinking about making a career out of this but have some worries because by system doesn't work on all markets.I trade the YM,but back testing on individual stocks doesn't nearly match the success of trading my system on the YM.

    I have read that a good system should work on all markets as supply and demand doesn't change by market.I have also read many traders say that markets are different and many focus on one or a few markets to trade at most

    Any opinions on this? Should a system be successful on all markets to be a successful system ?

    Cheers,Mike
     
  2. Does a system have to work everywhere? I'd say no. Trading stock index futures vs. individual equities vs. forex is very different animals. While some systems will work across the board, I don't think it's necessary for it to work all across the board to make money.
     
  3. sosueme

    sosueme

    If your system is your own creation you should know the answer to this question.
     
  4. Quote from M Jared:

    I have recently been successfully trading for 7 months after 4 years of back testing,6 months of forward testing and now 7 months of actual trading

    what are your FORWARD TESTING+ ACTUAL TRADING statistics? Your Sharpe/Sortino? Your Profit Factor? Your drawdown? Etc??? [and for all of these, I mean AFTER all commissions, slippage, fees, taxes, etc.] Successful is based on Risk-Adjusted Reward, after factoring in all costs.

    Successful means nothing without analyzing your trading to see if it is realistic.

    How many trades do you generate? What size account have you risked? I do not consider your words here as meaning you are "successful." Past performance does not necessarily...


    I am seriously thinking about making a career out of this but have some worries because by system doesn't work on all markets

    You are getting way ahead of yourself. We are in epic times. Quitting a good job to "make a career out of this" is the last thing
    you should do. Do you have TWO YEARS COMPLETE LIVING EXPENSES PUT AWAY? Otherwise, you will learn the definition of "scared money."


    I trade the YM,but back testing on individual stocks doesn't nearly match the success of trading my system on the YM.

    The indexes often behave differently than stocks or futures.

    I have read that a good system should work on all markets as supply and demand doesn't change by market.

    Not necessarily true. And don't rely on what you read. Rely on what you do with your trading.

    I have also read many traders say that markets are different and many focus on one or a few markets to trade at most

    Yes and no. And don't rely on what you read. Rely on what you do with your trading.
     
  5. I would say it needs to perform well on the majority of markets. :)
     
  6. Nope
     
  7. WRONG !!!
     
  8. I concur. Ask any pro trader at a bank or firm. As long as your strategy works consistenty in the market you're trading in, you're good to go. Good luck



    P.S. Just dont give up your day job untill you are consistently making money trading with a real acct.
     

  9. Wow. I guess this is the reason why the majority lose. You seem to think your curve fitted strategies will make money over time.

    Why do you think that they are losing money on every other market you test them on? These are the questions you need to ask yourself.

    When you developed your system what method of development did you use? If you were looking for a price pattern what did this market do that the others didnt? What does that mean in regards to your system?

    This is just the beginning but if you are getting bad results on ever other market and out of this world returns on 1 market I would place my bet on a reversion to the mean with regards to future performance(the mean of all markets performance).
     
  10. lindq

    lindq

    Of course it doesn't. There is absolutely no reason to expect a mechanical system to perform with the same efficiency in every market.

    In the case of the OP, he was questioning his YM strategy in regard to individual equities.

    An index will not respond to the same parameters as the individual components, and he should not expect that they would.

    His general approach or concept may be similar, but the specific parameters of the system are going to be very different.
     
    #10     Oct 28, 2009