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I'm not sure this idea of profitable systems 'failing' is
actually true. I (along with millions of others) hit on a superb system in 1998.
It was called invest in MSFT, CSCO, DELL and AOL. (let's call it a momentum
system). It worked superbly until about March 2000. It didn't work after that,
but I don't believe it was due to inefficiencies of the market disappearing. It
no longer worked because the market changed (and the system didn't have
the ability to change with that market).
NOW I can develop systems that work (with hindsight/data
mining/curve fitting) all the way from 1998 to today. Will they continue to work
into the future? Maybe (although judging just by today, the answer is no....),
but I'm fairly sure they have a much better chance that the MSFT etc.
system.
Steve
<BLOCKQUOTE
>
<SPAN
class=254523518-17102003>
<SPAN
class=254523518-17102003>seems like one corollary of this is that as soon as
we figure out something that appears profitable, we should move quickly,
before its advantage disappears.
<SPAN
class=254523518-17102003>
<SPAN
class=254523518-17102003>it also seems like the notions of backtesting and
optimization are unlikely to succeed, even more so the further back you go,
since whatever advantages they indicate have probably already evaporated.
unless they just happen to be recurring again now...
<SPAN
class=254523518-17102003>
<SPAN
class=254523518-17102003>frankly, it's hard to see how rational trading system
design is possible in a world like this. or am I just
depressed?
<SPAN
class=254523518-17102003>
<SPAN
class=254523518-17102003>dave
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