Trading every window: volume is not an edge

Entering every window of every asset "because the more trades, the more I win." We measured it by removing all selection from one of our systems: the result went from positive to losing without touching anything else.

The volume illusion

There are 96 windows a day per asset. Trading them all looks like serious work: the screen moves, the history grows, you are always "in." But most of the windows offer nothing: they are price noise around a target that can fall to either side. Trading them all is paying to participate in that noise, over and over again.

The mechanism: fees rule

Every trade pays a fee and crosses the spread between buying and selling. If your trades do not have, on average, a better probability than the price itself already says, your gross result hovers around zero… and the net is the gross minus all those fees. The more trades, the faster the "minus" accumulates.

In our ablation test — the same system, the same markets, with and without its selection criteria — the version that traded everything lost, and the difference did not come from hitting dramatically less: it came from making many more trades and paying many more fees on a gross that did not grow. Selection was not decoration: it was what made the gross survive the costs.

What to do instead

• Define what has to happen for a window to deserve your money, and accept that most days that will happen a few times — or not at all.
• Keep track of the fees you pay per week. It is the number that most surprises anyone who trades on volume.
• Measure your system by net result per trade, not by trades made: 5 good ones are worth more than 200 mediocre ones.

The full series

This page is part of the Money-Losing Strategies series, where we cover the traps we have tested and measured in our own systems. And if you want to see how a system that avoids these traps performs, the full history — failures included — is in the public statistics.