Trading Systems Robustness & Market Structure It is commonly agreed that the measures of a robust trading system are: 1. Common sense and valid underlying logic. 2. Identical parameters, rules for all markets 3. Consistent profitable performance across multiple markets in multiple market complexes 4. Simple rules However, I wonder in addition to the above, what role âMarket Structureâ as defined by: a. volatility, b. liquidity of specific markets, c. format of trading (pit vs electronic), d. continuity of trading (24 hr markets vs daytime only markets), e. type of market participants, f. number of market participants, g. market volume can affect a trading system and how this impacts on system robustness. So for example can one I have a system that is seemingly ârobustâ and profitable in one time zone and less profitable in another time zone due to market structure issues. So for example if a trading system were to show good results say between 2000 â date, but a mix of fair, good and poor results between say 1987 â 1999, should one deduce from this that : a. the system is fully robust and the less consistent performance in the period 1987 â 1999 (note I am not saying the performance was bad, just not as good) is due to a different market structure in the 1987 -1999 window. The 1987 â 1999 window had less markets available for trading, less liquid markets, fewer market participants, more discontinuous markets i.e. no 24 hour trading) or b. the system showed less inconsistent performance in the 1987 â 1999 window due to inherent system weaknesses; in which case one should expect that the period going forward could also show less consistent performance. Is there any way to even scientifically confirm which hypothesis from the two above is valid. I hope my thoughts will provide the basic for a hearty and intelligent dialogue on this important issue. Many thanks.