I have a strategy that can be used on different instruments...Right now I'm using it on futures...mainly the mini's and 5 yr and 10 yr treasury... Is there any advantage or disadvantage to do it on stocks?
If it works you may have more opportunity (the universe of stocks is much bigger than futures). If you're in doubt how well it performs you can try smaller lot sizes on stocks (e.g. try 200 SPY (for 1$ commission) rather than 1 E-Mini (=500 SPY) for higher commission). That way you'll get a better feel how well it works in real trading. The main disadvantage that stands out is taxes. Tax treatment and tax reporting is very straightforward with futures, it sucks with stocks.