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>
>It seems to suggest that the optimization period from 3/1/2000 to
>9/21/2001 produces a more "robust" system---but I question whether this
>is so. I am not sure I have confidence about when the performance of
>this system would deteriorate or "die" as has been stated.
>
>My thanks to Fred for sharing his system and I hope this comparison
>stirs some continued good debate on this subject, from which we can all
>learn.
>
>Ken
Ken, I would assume the system that was optimized over a bear market would
perform poorly on strong bear market rallies and would be bad on any
subsequent bull market. So many conditions are different in bull vs bear
markets that the optimizations tend to skew the parameter values for
performance under that set of conditions to the detriment of the other
style of market.
If you want an "all weather system" then it has to be optimized over a wide
variety of market conditions. The net result, if you are lucky in your
system choice, is a system that performs reasonably well in both up and
down markets but is not optimum for any particular segment type.
Did you do any system testing in 1999? I never found any trading scheme
that could beat buy & hold during that period. Any market twitch that took
you out for even a few days ended up with less profit because it took some
finite time to get back long again. You will see Fred's system, while not
losing money in 1999, under performed B&H for QQQ that year. I would
expect it to exhibit similar performance in the next bull market. By
trying to catch shorter time frame turning points the system is compromised
for trending periods. There is always this kind of trade off in a
system...at least in my systems, but then I don't have any that perform as
well as Fred's main system. :(
Cheers
Sid
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