System adaptability to changing mkt conditions

Discussion in 'Strategy Development' started by bearmountain, Oct 28, 2009.

  1. I have seen ads for systems that claim that their systems adapt to changing market conditions. What are these system designers doing?

    What are some ways to have your system adapt to changing market conditions? I am a intraday 100% mechanical system trader. My systems work for a while, then go kaput. Optimization is the only way I know to make a system market sensitive.

  2. sosueme


    what do you trade
  3. Adaptable to current volatility and range should be a filter in all systems to keep them robust. This will than effect your stops and targets as they also need to be adjusted when the market environment changes. My opinion only but this simple approach has doubled my returns the last 2 years based on adding filters and code that will adjust to vol.

    If you are static systems.......than you will go broke without dynamic rules, code and filters that adjust with the market of your choice.
  4. exactly, adjusting to vol.
  5. Can you please give some examples of volatility and range type filters?

    In my mind, I always thought of adjusting a system to market direction - major uptrend, downtrend & sideways. But it doesn't seem to work, there are some other market characteristics at work that influence my system performance over time. For example even in a prolonged uptrend which we have had since this spring-09, my systems don't perform uniformily. If possible can you please elaborate on volatility and range type filters? Thanks.

    PS. I trade stock index futures; 5 min charts, 2-3 trades a day per index. Intraday trend-following. 100% automated. I trade EMD and TF.
  6. if you really care, read a book on econometrics. Before you start automating, you should really understand the principles of model building. If you don't understand the relationships of our parameters, I.e. If you you can't express your variables as a joint distribution, or use other methods that deal with this sort of thing, then you don't k ow the true risk of your system.

    Good luck
  7. That you have to do yourself to have the condfidence to use and believe by what you risk your money on....but look at ATR over longer time frames to be your starting point.