Strategy backtests well for ES but not for other index futures

Quote from cunparis:

Thanks for all the responses especially the previous poster who has observed the same thing.

Yesterday I was working on a strategy that had a nice smooth equity curve for ES, NQ, & EMD over a max 3 year period (3 years for ES, I have less data for NQ & EMD)..

I tested it with YM and it was negative. I can't figure out why, it doesn't make any sense to me. I'm still trying to figure it out.

I agree about the tick size, etc. I'm not using any stops on my strategy, at least not yet. So that's not it. In the past I've used the optimizer to test all variations and come up with the best, but I ended up feeling like it was too curve fitted. So with this one I just use a simple exit strategy with MA crossover. So this should work on all the indexes.

Maybe YM just trades differently?
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that is weird. compare their charts. they're basically the same.

maybe your answer is "don't trade the YM" :D

Can you post the equity curves?

What entry system does your system use? specific price points like pivots or dynamic points like "enter first bar after MA slope changes"?
 
Quote from IronFist:

that is weird. compare their charts. they're basically the same.

maybe your answer is "don't trade the YM" :D

Can you post the equity curves?

What entry system does your system use? specific price points like pivots or dynamic points like "enter first bar after MA slope changes"?
More...

After running more optimizations to try and find out why it wasn't working, I determined that NQ & ES use very similar configuration (stochastic thresholds, etc.) however YM is a bit different. When I found its optimum values, then the test is positive although it doesn't perform as well for YM as ES.

I don't use pivots. I haven't found a way to make them work. I know they're used by a lot of people and one day I'll try again but after spending a few weeks on them I just couldn't come up with a profitable strategy. So I mainly use price action, like the price did this under this condition then it should follow through with this. Indicators help with the setup (like buying when oversold).
 
Quote from cunparis:

After running more optimizations to try and find out why it wasn't working, I determined that NQ & ES use very similar configuration (stochastic thresholds, etc.) however YM is a bit different. When I found its optimum values, then the test is positive although it doesn't perform as well for YM as ES.

I don't use pivots. I haven't found a way to make them work. I know they're used by a lot of people and one day I'll try again but after spending a few weeks on them I just couldn't come up with a profitable strategy. So I mainly use price action, like the price did this under this condition then it should follow through with this. Indicators help with the setup (like buying when oversold).
More...

you have a profitable strategy using stochastics?

what is you exit criteria? x number of points? a MA changing slope? some sort of crossover?
 
Quote from cunparis:

I'd expect a system to do about the same for similar markets.
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Why should it?

For what reason do you think an index of 30 stocks (YM) is going to move perfectly in sync with a index of 500 (ES) or 2000 (TF) or 100 (NQ)?

Each has its own personality and characteristics. Which is a good thing as it opens up more possibilities.
 
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