DislikedFascinating.
From reading the market wizards and market histories...i am of the opinion that : A technical/fundamental approach CAN ONLY BE solidly functional for a specific kind of market within a certain period of time(+/- 10 years...if you are lucky...15yrs). After the 10 year mark, the trading approach will start to fail unless it has undergone updating to reflect the new market reality. The trader that hasnt done this will start to see his method fail.
[b]Logically, i dont think you can find a method that works in all market condition....Ignored
what I also like to do with my testing is to find out about the predictive value of my systems. Say I backtest and optimize my systems from beginning till 2009. Now I look at 2010. If the profits of 2010 are lower than in the year 2009, then my system has a low predictive value, if it is higher than 2009 then it has a high predictive value.
That was just a simplification. I do that for all years from the beginning till 2012. Make a ratio for each year (predicted year (i.e. 2010)/last year of the optimization period (i.e. 2009)) and look if the average of all these ratios is equal or higher than 1. If it is not, then back to the drawing board. That weeds out a lot of "promising" systems, that actually are either overoptimized or just had some good streaks but go back to random.