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It was this [partial] post that got me thinking, as there are a number [lots?] of systems traders out there:

I don’t think I curve fit and use price action patterns as a basis for all my code , the majority of my indicators are custom written by myself ( why I will not divulge or discuss ) and represent tangible price action events . Median reversion is the basis of my systems and I filter what I see as important aspects of price action . The counts used in charts here are only a part of the process but they do measure trend and reversals and are integral part of what I do on every time frame .

So my question is: is every bar created equal?

The answer [to my mind] is clearly no.

Some bars contain nothing but trading noise, whereas other bars contain important information.

Will the market [the sum of all participants of a given bar] treat the same information in the same way as they did previously?

Again, my answer would be clearly no. The participants could, and likely would be, completely different, with the commensurate difference in subjective views. That is just one example, there are hundreds of reasons why the reaction could be different.

Therefore, building a trading system/methodology, based on historical data is prone to randomness, exactly what you are trying to eliminate.

Is this a futile undertaking?

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