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Hi Fred –
We might be able to analyze the shape and
slope of the equity curve, just like any other time series, to determine
whether it has peaked.
Howard
-----Original Message-----
From: Fred [mailto:<font
size=2 face=Tahoma>fctonetti@xxxxxxxxx<font
size=2 face=Tahoma>]
Sent: Sunday,
November 16, 2003<span
> <font
size=2 face=Tahoma>7:41 AM<font
size=2 face=Tahoma>
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re: Backtest
using equity curve
<font size=2
face="Courier New">Presactly. I never
viewed them any other way. However an approach
of switching
systems to ones with currently better looking equity
curves
argues for a similar approach i.e. catch the moving train and
hope that it
isn't already going top speed just prior to it hittng
the wall.
--- In
amibroker@xxxxxxxxxxxxxxx, "Howard Bandy" <howardbandy@xxxx>
wrote:
> Hi Fred
-
>
>
>
> There
is another way to look at a rising equity curve - to view it
as a good
> thing.
>
>
>
> Assume
that models and markets flow back and forth between in
agreement
>
(profitable) and out of agreement (drawdown). When the model is
working,
> enjoy
and take advantage of it. That is - increase positions and /
or
>
leverage. The gambling phrase associated with this is ¡Èbet the
run of the
>
table¡É.
>
>
>
> Howard
>
>
>
> -----Original
Message-----
> From:
Fred [mailto:fctonetti@xxxx]
> Sent: Saturday, November 15,
2003<span
> <span
>4:14 PM
> To:
amibroker@xxxxxxxxxxxxxxx
>
Subject: [amibroker] Re: Backtest using equity curve
>
>
>
>
Assuming equity curves work like markets, which I'm not sure they
do,
> and
there is reversion to the mean this would argue for reducing
> trades
or position size as you get farther and farther above the
> linear
regression of the equity curve and increasing them as you get
> further
and further below.
>
><<<
SNIP >>>
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