What am I missing?

[intradaybill]

Quote from abattia:

I’m trying to understand better why a successful intraday strategy on one instrument won’t necessarily work on another.

I am sure if you have plenty of data you can find periods where it worked for the other and it did not work for the original instrument. Assuming of course that the startegy is not particular to one sintrument by design.

The longer term mean return of any intraday startegy must approach zero, this is what the laws of the universe tell us. So for the one that works, eventually it will fail and for the one it doesn't, eventually it will.

Just give it time...

By the way, what I said above does not imply directly that nobody can make money day trading. It just implies that very few ever will...

 

[NoDoji]

Quote from abattia:

I’m trying to understand better why a successful intraday strategy on one instrument won’t necessarily work on another.

For example, say something works well on SPY; why won’t it always also work well on F?

Some strategies work on most instruments across all time frames. Other strategies are instrument-specific.

I looked at SPY and F over the past 3 days and the kind of setups I trade work equally well on both.

What strategy do you use on one that doesn't work on the other? If it's a proprietary secret then I don't want to know

 

[abattia]

Quote from NoDoji:

Some strategies work on most instruments across all time frames. Other strategies are instrument-specific.

I looked at SPY and F over the past 3 days and the kind of setups I trade work equally well on both.

What strategy do you use on one that doesn't work on the other? If it's a proprietary secret then I don't want to know

Thanks for the response, NoDoji, and thanks too for sharing that you have identified something that works for both.

In my case, it's an automated intraday mean reversion strategy (yes, my own, original work!) that works well on SPY (i.e. acceptably decent Sharpe Ratio over several thousand trades in simulation, and now a growing real track record, too) ... but try as I can, I can't yet translate the strategy's success to other (also widely intraday-traded) equity instruments ...

I haven't given up on F, yet. As someone pointed out earlier in the thread, from a fundamental standpoint, SPY and F have very little in common. So, it would be rewarding (from a sense-of-achievement-standpoint, at least!) to find the same strategy worked well on F, and PFE, and CSCO, and BAC, etc .... If it doesn't, then at least I hope to reach a better understanding of what gives rise to unique elements of an instrument's price action.

Since a significant number of intraday traders seem to pay little attention to fundamentals and operate instead on the basis of price action or from a purely technical standpoint, it would seem reasonable to expect - as I tried to argue earlier in this thread - that much of the intraday price action resulting from this activity should be "agnostic" as to the precise instrument in question. i.e. the instrument is just another "widget" that traders are jousting over!

 

[abattia]

Quote from intradaybill:

I am sure if you have plenty of data you can find periods where it worked for the other and it did not work for the original instrument...The longer term mean return of any intraday startegy must approach zero, this is what the laws of the universe tell us. So for the one that works, eventually it will fail and for the one it doesn't, eventually it will...

Thanks, intradaybill.

I find it incredibly difficult to trade something that hasn't been successful over the entire period I have been able to backtest it over; without knowing it has "always" been successful (at least as far as I have been able to investigate), I can't develop enough confidence in the strategy's historical performance stats to compare these with what happens going forward, and to use this comparison as my main "go"/"no go" gauge of whether the strategy is still working.

I know I am leaving lots of opportunities on the table by doing this, though. Sorting this out will be another area of work for another day!

 

[abattia]

Quote from DDmaster:

... Assuming you have scaled the strategy properly to work on a different instruments price and volatility the problem could be that one instrument is going through a losing phase in the strategy and if the system is profitable later on will win to balance it out...

Thanks, I think that's a fair enough point. In the specific case I am dealing with though, I believe I have enough data over enough time to rule this out as the cause.

 

[murray t turtle]

Quote from abattia:

I’m trying to understand better why a successful intraday strategy on one instrument won’t necessarily work on another.

For example, say something works well on SPY; why won’t it always also work well on F?

I understand one’s an ETF based on an index, and the other’s a single company stock. But is that all there is to it?

After all, both go up and down throughout the day, and both are highly traded stocks.

Even if F typically moves more in a day than SPY does (in relative percentage terms), I would have expected to be able to handle this simply by scaling strategy parameters like target/stop from SPY to F. Yet, in my experience, it doesn’t seem to work.

And - to my unseasoned eye at least - if you gave me charts for both taken on a random day, and hid the absolute values on the price axes (and didn't start the price axis at $0, so that I couldn't judge which instrument had the larger fluctuations in % terms), I couldn’t tell you which chart was SPY and which was F.

And the order books/ladders/DOMs for both instruments also look identical (again, ignoring the absolute price values).

So why do some set-ups work on one, but not the other?

==============
AbTT trader;
I think most of the answers {SPY,F] you recieved here are helpful.

Dont know if i could tell the difference on a 5 minute chart;
with your mentioned limits. But no big suprise that 1 auto company ;
does not trade/invest the same as 500 diversified.


Even more practical,F went up & down [10 year chart...];
Much ,much , much more on a % basis than SPY.

murray TT

 

[Dan_Gor]

Basicaly what you are looking for is a Strategy that has no fear, i works on any Asset, which i must say has been my wet dream from many many years.

I have been writing and successfully trading automated strategies for 4 years now, Mainly Using Tradestation and IB.

What i have found is this.

Not every strategy will work on every Asset!
BUT most of the time if you find stocks which have high correlation, and their average daily volatility of 50 days back is roughly the same, you will be able to apply the same strategy with minor Parameter Changes.

Let me give you an example,
I have been trading AAPL automatically for the last 2 years. And i searched 5000 stocks for along long time to find stocks that work well with my strategy and i found quite a few when i analyzed them i got the result written above they had a lot of thing alike

I found that my strategy also works well on :
ABFS, ATPG, DTO, FXP, GAP, GGC, HLX, KONG, MCO, MEE, PCS

My philosophy is simple you need to understand the key features of your strategy, and find stocks that fit that criteria. For example, if you have a strategy that is trading BreakThough you need high volatile Stocks, if you are trading Gaps, you might wont to go to Relatively cheap jumping stocks, and if you are trading Linear Regression or things that are BASED on STD search for sideways slow Stocks.

Hope i helped a bit.

 

[abattia]

Quote from Dan_Gor:
... Hope i helped a bit...

Yes! Many thanks.