When i am testing strategies now i am finding some great opportunities for the ES/YM/NQ - the strategies i test work across the board on these 3 markets (which should be expected). However, i find from years of trading these markets discretionary based that they all behave differently -especially the NQ. Now i have started to test my strategy against a a basket of stocks. I am finding it very very difficult to find strategies which work well on all instruments. None of my strategies are indicator based. Do you guys have a similar approach or do you use common sense to deduce that stocks behave very differently to emini indices as do commodities to other futures markets. If my strategy does not work across all instruments does that mean it is curve fitted to that one market, even if in sample and out of sample testing was done correctly? Should a strategy on the SPY work equally well on the ES?? Do your strategies conform across all instruments or they tailored to exploit edges on only various instruments?