Edge: Should it work on them all

billv said:
I trade 20+ currency pairs and I found that no matter what strategy I use, my filter settings would have to be different due to the different dynamics of each instrument.
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Hi, the filters setting are different. The process is to find the filter settings tht have edge on different pairs. So I am trying to expand an approach that already works on live trading but has few signals.

billv said:
Also, if you are doing back testing you would need to know what happened during certain periods of time so that you can decide if the event which caused your test to fail was a one off event (eg Brexit) or if it is likely to occur again (GFC?).
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Yes I haven't considered that. Most of my data includes those anomalous events.

billv said:
You mentioned that you have a problem with new data.
My guess is that the dataset you've used for setting up your filters is incomplete or that it has errors.
If you are using metatrader historical data, it is broker dependent and often has errors or is incomplete and therefore its not reliable for fine tuning your strategy. Ideally a strategy should be forward tested for >1 year before we could say that our edge is working
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I think the data is fine; 99% model quality. The frustration was just that something that I already know to work was proving difficult to expand to find more signals. But it's fine now, the 6th version of the model which is actually much simpler than the previous ones is now giving the results that I was looking for, so I can leave the bunker and get some sunlight. lol.
 
Rapunzel said:
I am trying to expand an approach that already works on live trading but has few signals.
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Yes you will have fewer trades this is what happens with excessive filtering and therefore a trader will be forced to increase his trade size which increases his risk.
IMO a signal should be specific to the strategy one is using.
 
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