I have this automated day trading strategy that was extremely profitable and took a dive. The strategy really lost its edge in mid september, but had you traded it for say a year back on 800 stocks and done fairly decent size you could have easily made over a million dollars. It took me a while to put this together and I did take advantage of the strategy for a couple of months, but as I was beginning and making sure the program was running correctly I didn't pack on size, but made some good money. Then in mid september the trades didn't go as planned and especially with the volatility I really got hammered, October passed, November passed, and december passed, and the trades continued the opposite way. I've spent zillions of hours analyzing the system and it doesn't matter if you tweak the parameters or not, across the board it's not profitable. But there is something to note. The strategy is based when condition A is present. The key that really makes this profitable is to put a filter where you only take trades when condition B is present. What's interesting is that through this down period, this relationship still holds up where trades when condition B is present are much better than when it is not. So what do I do w/ this strategy? I'm still running it, but honestly I've only been doing 100 shares, and I still find it very hard to watch as trades continue to go against me. I've recently found something else that makes money and I'm glad for that, but I'm sickened when my gains are erased by this losing strategy? * This strategy produced around 75 trades / day.
3 options: 1. post the system and have people give you ways to improve it 2. sell it 3. put a negative in for on of the variables and take the opposite of every trade signal. the wonders of profitable trading revealed. all your losers will become winners
<i>"3. put a negative in for on of the variables and take the opposite of every trade signal. the wonders of profitable trading revealed. all your losers will become winners"</i> False. Logical assumption on its face... does not hold true in real time with real money
So it sounds like you're saying you have a strategy that works when certain market conditions exist. Uhh, not to sound rude but it sounds like your system is no different than a zillion others that work and then stop working and then work and then stop working and then work...........
<i>"Uhh, not to sound rude but it sounds like your system is no different than a zillion others that work and then stop working and then work and then stop working and then work... "</i> Over-optimized for specific conditions which have not existed since September.
Quick aside - Do you: 1) Increase your optimization time period from 3 years to 10 years to compensate for market in last 3 months. 2) Omit last 3 months from optimization timeframe as an 'abberation' and trade your system exclusive. 3) Try to make system more 'robust' including last 3 months of data 4) Do something else. Right now, I vote #4.
Arb your own strategy .... take the trades with condition B present, and fade the trade with condition B not present.