@nicolas did @david-1984 and I post at the same time? Now that’s correlated!
We will raise many good debates in this discussion.
@david-1984 you state:
Robustness: this word is always forget in almost all TS that I foun here in the library. System proposed are always working on 1 timeframe and 1 index. What does this mean? This mean that most of these trading system works only on the past of that index. If you try to put them in live you will lose big money.
Yes, you will lose money if you try to use a TS that was first designed for M1 and then run it on H1. For me the M1 is like a very fast motor bike and H1 is a slower motor bike or maybe not even a motor bike but they are on the same road. I don’t expect it to perform as well because I haven’t optimised it for H1. I suggest leaving curve fitting out of the discussion for the moment. I mainly believe in Price and Standard Deviation or Error, as the main building blocks (all other indicators in my opinion are lagging). When you compare the range between M1 and H1 you will get a different range. So how can I expect to get similar “good” results. Now I say “good” because I understand the profit must be different but “good” might be defined as, well… I’m not sure at the moment Win/Loss ratio?
On to your 2nd point:
one system that works on DAX should work in a similar way on MIB, CAC, SP500 etc…
While each of these are indexes they do have different demand and supply, or lets say volume and are at different price levels. How can you expect them to trade the same. Again I refer to the ranges and volatility? Here is an extreme example but I think it’s still valid during the tumultuous Greece bailout negations there was much greater uncertainty and the riskiness and volatility especially to Europe indexes and probably more to DAX than others and definitely more than to the ASX200.
So I guess this relates to your point about not using 1% for the stop loss but instead try to use some form of volatility indicator. When I look at GBPJPY I see one of the highest volatility pairs. So if I try to code something that will work for GBPJPY it won’t even trigger for another pair let’s say EURGBP?
If I go the opposite start with EURGBP and then apply to GBPJPY it will trigger but will most likely make losses. So how can I address this? Should I come up with complex conditions to try and test for which pair it is and then make entries if it matches? But then something strange happens that’s unexpected that as much as I tested for I didn’t expect that to occur and I get a loss that I shouldn’t have. Of course if this is a once off loss it shouldn’t be a big issue but overall I see it as complexity with little added value.
The illustration of the train from Milan to Rome is great but I don’t think it fits within my theoretical model because in this situation the train is the same, the track guage is the same, the only difference is the train stations and location, so for me Berlin to Munich would by like a EURindex (inveur) if this is one index, but not 2 different indexes?
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