Choosing the market and preparing data

There is one very common misconception regarding systematic trading: it is believed that a technical trading strategy should work in any market. I hope that the previous chapters have already dispelled this myth. Just as an example, let’s recall the famous EURCHF market while the Swiss national bank was keeping the rate of the Swiss franc pegged to the euro (see Chapter 9, Trading Strategies and Their Core Elements) – go and trade it using trend-following if the price virtually doesn’t move at all!

Even if we set aside such extreme examples, anyway, choosing the market can be a non-trivial task. Most of the time, we have to try many markets even if we can make an educated guess about which should perform better with a specific kind of strategy. However, there are some general guidelines that we are going to use now.

First, since we’re focused on trend-following, we would like to trade a market that is full of...