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The standard Omega procedure is to optimise your system with costs
bigger than zero given.
Is this really the right approach ?
When optimizing we try to capture a mathematical truth which is
represented by our system.
The costs which we occur are however very individual and have no
relationship towards the system or the market we analyse.
If our costs are high and we include them in the optimiziation
proccess we might reject systems which are in fact profitable - but
not for us. By rejecting these systems we might loose valuable
information about our markets properties.
Wouldn't it be a much better approach to use those best system
even -if they are unprofitable with our given costs - and try to make
them even more profitable by enhancing their mathematics ? Shouldn't
be the costs checked last in this rejection process ?
My general feeling is that the standard Omega procedure might lead
many traders to sub-optimal solutions.
Any opinions on this matter ?
Gerrit Jacobsen
http://www.tickscape.com
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