Interesting. I think I understand. I do agree with simple, as soon as the algo gets too complex I find myself "curve fitting" hope your on to a nice way of trading the particular market. What is your opinion regarding applying same parameters to many commodities or at least electronic liquid ones ?
I think each asset-class has its own personality, and often inside an asset-class you'll find sub-classes with very distinct personalities. A discretionary trader might say he/she trades the same way different markets, but this is very very very difficult in a programmed system. I have developed for one of my clients a swing-trading system which works across CL, ES, YM, 6E & 6J (btw, the market model is his, and so is the statistical analysis, in that case I have been no more than the software developer). But I would say, this is the exception, not the norm (especially if you think of intraday holding times).
Glad you said this. I have found same, just can't lay the same parameters on each commodity or instrument, agree. I also find that volatility really allows for a few "systems" to perform well , or at least mine
right, but.... anyone have that ability ? Even a market maker may have trouble "making" money in low volatility environment