Okay, so my next question is how do you make consistent profits with any strategy if we know both trends and range bound markets never last?

I have developed strategies that make large profits when trading then absolutely nothing for months as there is no real trend, but on the flip side I have no losses either – trades just dry up. Take for example the EUR/USD since early April a great short. BUT take the same fx pair and between Jan to April and it was range bound. This is why I am going crazy – trying to develop 1 strategy in back test that has consistent profits year after year with the same strategy I believe is near impossible UNLESS it is in one huge obvious trend OR like you have both pointed out you have 2 different strategies one for trends and one for ranges.  But this will not show up as an amalgamated P&L in auto back test.

Pls tell me I am moving forward with this analysis 🙂

Christian.