The price level and the trend of the market will affect the results of a trading system in very significant ways. For example, its not only important to understand that high-priced markets are more likely to make large moves than low-priced markets, but also that as the price of a specific market trends higher or lower, the size of its moves will fluctuate.

This is especially important to keep in mind if you like to design mechanical trading strategies and back test on historical data. As a result, before you can determine if a system is good or bad, you need to test it two complimentary ways to be able to interpret the results in the context of changing market conditions.