Not only different conditions but I also do different models for each instrument traded. This is possible as I only do Futures and Forex.
Philosophically there are the markets: in biology perhaps a genus, then groups of similar market instruments: a species, then the actual individual instrument: EUR/JPY.
The instrument would be an individual life form with its own DNA. As in life forms, behavior is a product of both DNA and experiences or environmental conditioning. Two siblings from the same parents will have similarities but also experience induced differences in attitude, outlook and behavior.
This can be exhibited in interesting ways at the instrument level.
For example model based trading systems involving the Yen have an accuracy factor tied to a 24 hour cycle of normal events in everyday life in Japan. The lowest accuracy consistently occurs at lunch time in Tokyo compared to any of the 23 other hours in the trading day.
My theory is that a lot of Japanese retail traders trade on their lunch hour, while of course professionals trade the entire day. The herd of part time traders ruing into the market at lunch time introduces a chaotic element which is sharply reduced one they go back to the office and into meetings or regular work after lunch.
I ask that because a while ago I generated some pseudo-random time series to test some strategies and make them as robust as possible. I tried to make those series as similar as possible to real financial data while keeping them randomly generated. The interesting thing is that they looked like real financial series, even presenting some periods with well defined trends! If possible, I would like to send them for you to see what you can produce with your methods with no predictors involved.
Many of you are asking for more references: I am going to post them here as I find the more influential work in my research. For starters:
If you are interested on market modeling in a distributed fashion, I would suggest looking into swarm behavior.
here are most of the 4+ star books on the subject:
I- am going to limit my offer so that is not the only thing i do form noe one.
Bring them on and i’ll post the results. If you have a trade system, you can send me a market plus ans open equity curve, and i’ll show you significant performance improvement woth post mortem trade management. ( first few only)
You can find my data at www.kaggle.com/INFORMS2010
I now post my TRADING ALERTS
into my personal FACEBOOK ACCOUNT
. Don't worry as I don't post stupid cat videos or what I eat!