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Initial evaluation of L1-S4 Equity Curve ...
This system looks more like it ... Although the DD's are still high
(16.5%) for my personal taste there are undoubtedly traders who can live
with this and the flat to down periods in equity are significantly
shorter. The equity curve although a little choppy is fairly close to a
straight line on a log scale.
I think if I were you I would take the same algorithms you are using and
back test from mid '98 to this tests beginning date and see what your
equity curve and dd's look like. The world was a different place pre
9/11 and different yet pre 3/2000. The longer the period of time you
can back test on especially if it's out of sample the better. If your
methodology flies from 98 forward then I think you are probably on the
right track
Fred
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