In this appendix, we will cover a number of key points regarding algorithmic trading strategies that ought to be considered while executing them.
Strategy profitability is subject to seasons
Strategies may not return good results all year round. They can be seasonal, meaning they may perform well at certain times of the year and not so well at other times. So, it is essential to identify the right time or the right season for a strategy and to use it only at those times.
Strategy profitability is subject to its parameter values
A strategy depends on various parameters. The same strategy may perform differently for different instruments and for different values of the technical indicators. For example, an exponential moving average (EMA) strategy with parameters (time periods) 4 and 9 may perform well for STOCK X, but the same strategy with different parameter values, say 5 and 13, may not perform well for STOCK X, or even the same strategy with the...