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Hi Dave –
Don’t move away quickly until the system
itself fails – watch the equity curve.
My feeling is that the older data is, the
less value it has in developing systems. But Chuck has been successful
and he has a different point of view.
If it isn’t possible to design rational
trading systems, we’d better all stop fooling around and go do something productive.
Howard
-----Original Message-----
From: Dave Merrill
[mailto:dmerrill@xxxxxxx]
Sent: Friday, October 17, 2003
11:43 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: RE: [amibroker] Will
systems degrade? (was Optimization)
<span
>nicely said, b.
<span
>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
>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
>frankly, it's
hard to see how rational trading system design is possible in a world like
this. or am I just depressed?
<span
>dave
If
you keep your trades small, the market will likely never figure
it out from
your actions. But the market will likely figure it out
in some
other way.
<<<<<<
SNIP >>>>>
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