Thank you, Arti, for that inspiring suggestion. You've touched on something I had not even considered. I could have the strategy reference a different time series when it sees the flush setting up. I'll have a look at this idea over the next few days. Thank you again for the inspiration! -PD
to PleasantDays: "Easier" is not actually what I'm focusing on at the moment. I'm focusing on a certain ""edge," and sometimes that's actually "harder." " I thought that primary target in trading is to make money in stable and regular way "consistent percentage gain in my portfolio is what I'm after... a simple, repeatable and consistent percentage gain, day after day, and week after week" Hell yeah, this is what I am talking about. So stop looking to one market and some indikators to build curve fitted system and rather focus on systems, that work on baskets of for example 2000 markets (futures, stock, whatever...). Such robust systems have much higher probability to make you money consistently.
I think it would be easier to focus on your risk, portfolio heat, diversification, correlation etc... that s where you might build up an edge. Trying to get an edge out of your indicators wont work.
Look into indicator divergence. They typically buy after the second move. Basically your looking for an indicator to turn up twice, with lower prices at each turn, hence divergence between indicator and price. Try it with MACD, fast stochastic, RSI, or other oscillators. I'm testing a divergence system right now in Amibroker to see if I want to add it to my other systems.
If you are trading the YM mean reversion exclusively, I'm curious what you results are between 11AM-2pm compared to the rest of the regular market hours.