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All:
If your "system" is made up of some basic indicator manipulations (say
StoRSI crossing, for example), as well as some PositionSizing statements
and an ApplyStop statement, would you:
A - optimize just the "basic" system equation(s) ie, the StoRSI and its
associated trigger levels (then apply your risk management statements
afterwards, or
B - optimize the basic equations AS WELL AS the position sizing and stop
conditions????
It seems that the term "robust" system applies to the basic governing
equations and not to the auxiliary risk management statements, thus I
lean towards the former step (A above).
Could I have some comments about the way you look at this situation.
How would you do it? Or how DO you do it, when faced with this?
Thanks for any discussion.
Ken
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