ES Strategies: Filter and leave running or be selective?

Discussion in 'Automated Trading' started by EminiMizer, Feb 21, 2020.

  1. In automated daytrading strategy design, since no one strategy will work in all market types, do you design strategies to work in trending markets, filter out chop, and let them run all the time, or do you design strategies to only run under ideal conditions and try to only run them when you feel conditions are right?

    I have been able to design strategies to run in sideways markets and others to run in trending markets. It is the filtering in back testing that is problematic. No matter how much I try to filter out chop in a trending strategy in a 365 day back test, even trading pullbacks, I either end up buying too high or filtering to the point that the signals are not meaningful.

    So do you run your strategies continuously, or do you look for subjective signs of the right market, the turn them on? Thanks for any advice.
  2. schizo


    Just curious. How are you to know in advance when to use the strategy for the TREND and when for the CHOP? Obviously, you wouldn't want to run both at the same time.
  3. Markets tend to have innertia. Sideways markets tend to continue sideways, which is the most common state. But trending markets tend to continue trending for a while.

    But that is the crux of my question. If "obviously, you wouldn't want to run both at the same time", how do you know when to run one vs. the other? Or are some traders successful in filtering out the chop or the trend and let them run?
    Last edited: Feb 21, 2020