Hi all,
I wonder if markets tend more often to trend or more often to range? I wonder since I am developing a trend based system and while testing last 30 days I am receiving strange results I did not expect - they do not relate much to profit or loss but rather to the shapes of profit curves - (one month automatic trading system forward test on 30 currencies based on Gain Capital data, the same settings for all pairs) that make me very very confused, I really am not sure what to think about them.
It is my intent not to disclose whether I am in plus or minus per month because I need an unbiased answer from some rookie, some experienced trader.
I have been told that markets tend to trend, so I developed a trend trading system. I would really need an advice on how to measure if markets trended or not - how should I measure it? Is it even measurable? Are there any statistical/mathematical models that can measure it? Should I consider parameters of my system when considering general trend/range measurement of a specific pair? How should I consider timeframe when thinking about that? Can one say that it is trending on 15M timeframe while ranging on say 60M?
Can one think that if the system works fine on some timeframe and not on another that that is ok? Or that it works on TF between 8-20 minutes and not higher on some pairs while other need much higher timeframe in tens of minutes? Some even hours to make profit with this system? Does that mean that the market is not trending on higher, respectively smaller timeframes? Is it a smart idea to reverse rules for pairs that lose a lot on smaller timeframes? while using reverse version on higher timeframe?
It has been programmed that it can be run/tested on any timeframe and any asset so there is no fitting to curve on any pair. Everything is calculated purely from the closing and median price, no news, it trades over weekends, all the time, it changes long/short positions all the time. Maybe some optimization might improve it. But I am very reluctant to do any optimization since I fear of overfitting to current market conditions.
Do you have answer to any of my questions?
Any advice or hint really appreciated in advance
N.
I wonder if markets tend more often to trend or more often to range? I wonder since I am developing a trend based system and while testing last 30 days I am receiving strange results I did not expect - they do not relate much to profit or loss but rather to the shapes of profit curves - (one month automatic trading system forward test on 30 currencies based on Gain Capital data, the same settings for all pairs) that make me very very confused, I really am not sure what to think about them.
It is my intent not to disclose whether I am in plus or minus per month because I need an unbiased answer from some rookie, some experienced trader.
I have been told that markets tend to trend, so I developed a trend trading system. I would really need an advice on how to measure if markets trended or not - how should I measure it? Is it even measurable? Are there any statistical/mathematical models that can measure it? Should I consider parameters of my system when considering general trend/range measurement of a specific pair? How should I consider timeframe when thinking about that? Can one say that it is trending on 15M timeframe while ranging on say 60M?
Can one think that if the system works fine on some timeframe and not on another that that is ok? Or that it works on TF between 8-20 minutes and not higher on some pairs while other need much higher timeframe in tens of minutes? Some even hours to make profit with this system? Does that mean that the market is not trending on higher, respectively smaller timeframes? Is it a smart idea to reverse rules for pairs that lose a lot on smaller timeframes? while using reverse version on higher timeframe?
It has been programmed that it can be run/tested on any timeframe and any asset so there is no fitting to curve on any pair. Everything is calculated purely from the closing and median price, no news, it trades over weekends, all the time, it changes long/short positions all the time. Maybe some optimization might improve it. But I am very reluctant to do any optimization since I fear of overfitting to current market conditions.
Do you have answer to any of my questions?
Any advice or hint really appreciated in advance
N.