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I use TS mostly to test different trading approaches, rather than as a
mechanical system. I've done studies on the effects of Optimal f on a
portfolio of futures, and am currently working on a simulation of the
effects of option hedging on a porfolio of futures.
I've come across a modification of Optimal f that is radically
smoother than the full blown application, though it is not simply a
fraction of the fraction. Actually, I am not quite sure how to
explain it, but it tests very well. Anyone who has read this far
probably knows that Optimal f, if applied out of the book, will make
your equity curve look like a rollercoaster on steroids (with
sincerest apologies to Mr. Ralph Vince).
Simulations are not intended to predict the future or duplicate the
past, but rather to mark out the shadows of the landscape... a way to
filter out bad ideas and highlight those that might have potential for
more detailed study and possible application.
I submit this only to see if there are any out there who are
interested in this arena either for discussion or who might wish to
have it done (i.e. contract to have it done).
So I'll wait to see what I hear from you if anything. Happy trades.
CW
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