Not sure if you're familiar with Hurst's cyclic analysis but when you take the mathematics to the extreme you realise that there wavelengths at work which are beyond our present detection, simply because insufficient time has passed for enough data to have formed to calculate the sums, or algorithms, or algae-rhythms, whichever you prefer.
In other words, when trading we can only backtest/trade that which we know. And if we can only use the data we have available then we are effectively creating codes in a closed system, when in reality we are trying to trade an open system. These difficulties are particularly amplified when trading intraday, as the relative volatility increases as you progressively get into smaller timeframes. It's also helpful to note that the species of volatility that will usually catch out a code is the kind resulting from market suppression and its subsequent natural re-adjustment.
Sometimes, it's a good idea to go back to the beginning and test a really simple code on a huge 24hr market, and see what happens to the projected outcome as you reduce the timeframe(s). In other words, see if the code will catch an elephant before going after the mice.
In other words, when trading we can only backtest/trade that which we know. And if we can only use the data we have available then we are effectively creating codes in a closed system, when in reality we are trying to trade an open system. These difficulties are particularly amplified when trading intraday, as the relative volatility increases as you progressively get into smaller timeframes. It's also helpful to note that the species of volatility that will usually catch out a code is the kind resulting from market suppression and its subsequent natural re-adjustment.
Sometimes, it's a good idea to go back to the beginning and test a really simple code on a huge 24hr market, and see what happens to the projected outcome as you reduce the timeframe(s). In other words, see if the code will catch an elephant before going after the mice.
