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The market changed ? Really ? From what ? Into what ?
Was it really doing something it had never done before ? Or only
something that those with a myopic view were saying could never
happen again becuase it was a "NEW ECONOMY" ...
I found it laughable and tragic at the time that no matter how much
one warned people that the late nineties wouldn't last forever that
they continued over the waterfall in the same barrell together like
so many lemmings rushing off to the sea following a pied piper.
--- In amibroker@xxxxxxxxxxxxxxx, "Steve Almond" <steve2@xxxx> wrote:
> 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
>
> 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.
>
> 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...
>
> frankly, it's hard to see how rational trading system design is
possible in a world like this. or am I just depressed?
>
> dave
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