System that turns itself off when conditions aren't favorable

Quote from logic_man:

In my case, I thought I had a system which gave about 1 signal every 2.1 days, but over the past 4 months, that signal frequency is way down to one every 2.9 days, but the profit factor is still more than sufficient to say it's a successful system, although not as high.
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For my CL reversal system, the last 4 months have generated 34 trades (~ 1 every 2.4 day). From June to November 2011, the number of trades for last 4 months was in the 70-80 range (~1 every day). In Jan/Feb/Mar 2011, it was in the 30-35 range (~1 every 2.5 day). From Feb to Dec 2009, it was in the 45-55 range (~1 every 1.6 day).

I think this is pretty normal variability.
 
Quote from logic_man:

In my case, I thought I had a system which gave about 1 signal every 2.1 days, but over the past 4 months, that signal frequency is way down to one every 2.9 days...
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Most likely your system is impacted by market volatility, or lack thereof. It isn't unusual.

Backtest your system incorporating the VIX. Adjust your entry levels based on the VIX and see what comes up.

VIX is a major filter in how I trade, and it may be for you as well.
 
Quote from lindq:

Most likely your system is impacted by market volatility, or lack thereof. It isn't unusual.

Backtest your system incorporating the VIX. Adjust your entry levels based on the VIX and see what comes up.

VIX is a major filter in how I trade, and it may be for you as well.
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Funny you mention that because I looked back at the dates marking these two distinct periods and there was definitely a shift in the way the VIX acted at that time and the relative decrease in frequency was accompanied by a falling VIX. This is for ES trades.

On the other hand, I have been testing a similar system on the Euro for about two months and the frequency in that instrument has been 1.5X what I've gotten in the ES and with a better profit factor. Since the Euro volatility index (EVZ) hasn't really moved, I'm not quite sure why this large discrepancy between the two instruments' frequency.
 
Quote from dom993:

For my CL reversal system, the last 4 months have generated 34 trades (~ 1 every 2.4 day). From June to November 2011, the number of trades for last 4 months was in the 70-80 range (~1 every day). In Jan/Feb/Mar 2011, it was in the 30-35 range (~1 every 2.5 day). From Feb to Dec 2009, it was in the 45-55 range (~1 every 1.6 day).

I think this is pretty normal variability.
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And the profit factor stayed about the same during each of these periods or was contained within a relatively narrow band?
 
Quote from logic_man:

And the profit factor stayed about the same during each of these periods or was contained within a relatively narrow band?
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There is a drop of P/F which started pretty much August 1st 2011 ... does not correlate with recent drop in trade frequency.
 
Quote from logic_man:

Is it possible to create a system which will turn itself off, i.e. stop giving trade signals, when those signals are more likely to fail, without any intervention on your part or any attempt to use an external filter to detect market shifts?

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Indeed, it is. It's called equity curve trading.

:)
 
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