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1. Too many degrees of freedom consumed in the system. IOW, to many parameters.
2. Favoring edge over robustness in system design.
3. Not enough data to thoroughly backtest a method.
4. Not deducting enough for realistic slippage.
5. Not being able to distinquish between true system failure versus temporary drawdown.
The list could go on...so many ways to get it wrong, so few ways to get it right.
Scott Hoffman
-----Original Message-----
From: CIR [SMTP:ResearchDepartment@xxxxxxxxxxxxxx]
Sent: Thursday, July 09, 1998 12:45 PM
To: Omega-List
Subject: System Trading : "The Series"
Let me begin by asking a question? Why do you think that most mechanical trading systems fail? What
would be a list of reasons that you would suspect causes failure? If there is a problem to be
solved, an answer should be obtainable wouldn't you think? Have you ever thought that the process of
finding the answers were all wrong? Thus tainting the entire developmental process?
--
TC
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