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> My conclusion: f is *not* an independent parameter that can be
> optimized separately. So f should be included into the list of
> parameters for system optimization to take care of the inherent
> dependencies.
I agree, Rudolph. In fact, I suspect that by including money management
parameters (like optimal f) in system design and testing, one will find that
many mediocre systems we have long since dismissed because of poor win/loss
ratios (or whatever other inadequate yardsticks we currently use to measure
a system), would actually be ideal candidates for trading.
Including money management in system testing is certainly beyond MetaStock's
capabilities and beyond my present skills. Do you have any suggestions?
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