My system gets smashed by these kinds of days statistically around 3% of the time. IMO they are unavoidable.
If you take a look at the action for the day, the price moved sideways while chopping up and down in a narrow range - a trend follower's nightmare.
The problem with filtering out these kinds of days is there are plenty of days where only half the day will be choppy, and the other half will be a powerful trend. Careful simulation has shown me that the system is better off taking every single trade, rather than filtering and missing out on the trending moves of those half-half days.
it's a drastic hit, within the context of a few days of trading. In the context of a month or quarter, it's just noise in the equity curve.
As for the number of trades, this is a good observation. The optimization process produces several 2-parameter combinations that perform roughly equally well, which is a good sign for a system. The difference between the combinations is how tightly the system follows trends. Tighter parameters lock in on a lower fractal, while looser parameters look at the bigger picture of the day.
In a world of ideal executions, having tighter parameters is better because the trade efficiency increases. However, missed limit order fills are the bane of my trading, so a balance has to be made. After reoptimization last Friday evening, I decided to choose looser parameters to reduce the whipsaw and reduce the number of trades. It's really a matter of preference.
rt
