The key to trading isn't finding things that work, it is finding a model that adapts to market conditions, for reasons you point out. When you find something that works, you have discovered a slice of truth, assuming causation. Experienced traders know how to shift regimes within a model, or shift to a totally different model, as markets evolve. 1) If you want to have a fully automated model, you have to have some sort of way of figuring out adaptation and regime shifts. Google both of those. Regime shift is often called a phase transition. 2) By far, and I mean far, the most popular way that dealing with shifting dynamics isn't to try to fix the model, it is to give it to a trader that understands how the model evolves under different market conditions, and then he trades around that. So the model becomes a crutch to a human trader, instead of a dictator whose rules are followed to the letter. Most would far prefer option one above, but it is probably close to impossible to program.
Wise words Nitro. An automated strategy that is not totally adaptive is doomed to failure in the long run. However, if you can build an automated strategy that defines all its parameters based on actual market data, rather than some random numbers spat out by a backtest optimisation, then you are heading down the right track. And you are right, it is complex and very hard to program (hence why hedges funds pay massive $ to grab the best software developers). Also, it never fails to amuse me that so many people on ET assume that just because nobody on these boards is telling everyone what they've done and how they've done it, that it is impossible. Naive in the highest order...but then again, that's probably why they are known as 'sucker money'.
That's like saying that markets are not predictable (random walk hypothesis). Then why are you trading at all? Or do you think that your mind isn't (even if unconsciously) doing what trading systems do?
As long as your charts are based in increments of time, range or transactions, your results will be inconsistent.
Then how are you, too, hoping to make money in the markets? Randomly picking your trades? Your trading experience doesn't count, if "past does not predict future". Unless you meant "past does not ALWAYS predict future", in which case we all agree, but then it's also granted.
I can predict the future (short term) by using now. Our past P&L does not count. There is hope for all.