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Given that over a long period of time that markets are up about
twice as frequently as they are down, I don't find this to be real
surprising.
Keep in mind when writing systems that:
1. Short's don't have to be symetrical with buys ...
2. It's not a horrible idea to have periods when one is flat as
well as long and short i.e. a reason to exit a long position is not
necessarily a reason to enter a short position.
Question: How does one objectively backtest/optimize a discretionary
system ?
--- In amibroker@xxxxxxxxxxxxxxx, "Brian" <brianrichard99@xxx> wrote:
>
> I have some nice, well-tested long systems in place. I was
surprised
> when testing my discretionary systems, to find that none of my
short
> signals performed nearly as well as the long signals, in the
> optimization/backtest/monte carlo simulations.
>
> Is this common?
>
> In addition, I am looking for some ideas around what indicators to
use
> as the foundation for building an adequate short system. Any
ideas? I
> did some searches on previous messages here, and did not find
anything
> of value. General rules of thumb, and bits of experiential wisdom,
are
> also welcome -- as they apply to short systems.
>
> Thanks in advance,
>
> Brian
>
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