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That's certainly a variation on the theme. In your case, instead of
trading the equity curve of the individual trading system, you're
suggesting trading between different systems based on the equity
curve. Another interesting idea!
--- In amibroker@xxxxxxxxxxxxxxx, "Foster Castner" <fcastner@xxx> wrote:
>
> To me "Trading the Equity Curves" involves setting up an algorithmic
trading system to rank the performance and trade the equity curves
from a user selected group of other algorithmic trading systems.
Essentially it keeps you in the best performing trading system at any
given time. I've experimented with this approach for years with
moderate success.
>
>
>
>
> ----- Original Message -----
> From: droskill
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Monday, April 28, 2008 7:10 AM
> Subject: [amibroker] Trading the equity curve
>
>
> I was wondering if anyone has any experience with trading the equity
> curve itself as part of a system. In particular, I was looking for
> feedback on approaches to being above or below the curve - did you
> reduce/increase position sizes or the number of positions? What have
> you found to be affective?
>
> Any feedback greatly appreciated - obviously I don't want or expect
> anyone to give away a great system, but I thought it might be an
> interesting topic for a general discussion.
>
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