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larry ..
i understand just fine. and i have "coded / traded something like that."
and i am more interested in hearing mark's explanation than yours. ;-)
________
-----Original Message-----
From: Lawrence Chan <stnahc@xxxxxxxxx>
To: Dtrader <dan@xxxxxxxxxxxxxxxxx>; Omega List <omega-list@xxxxxxxxxx>
Date: Saturday, June 05, 1999 10:20 AM
Subject: Re: System's
:> From: Dtrader <dan@xxxxxxxxxxxxxxxxx>
:>
:> mark..
:> imagine that the bond market suddenly begins a long term down trend that
:> lasts several years - say three or four years.
:>
:> if during this period your medium term counter trend model where to begin
:> drastically under-performing relative to its performance of the prior
:> several years, how would you adjust your model?
:
:i think you do not understand what counter-trend means ...
:if such situation occur, a short term counter-trend model will
:outperform the trend following model at least a few times.
:switching to short term is relatively easy.
:Mark has given out the model rules already ... if you have
:coded / traded something like that you would understand.
:
:> would you continue trading your model despite its poor relative
:performance
:> in this historically un-characteristic 'trending' environment?
:
:counter-trend statistical model in a bad scenerio usually results in
:poor performance, but not bad, money usually still be made.
:but most trend following model lose money 90% of the time and
:if the 10% does not produce home-run, the user goes bankrupt :)
:
:besides, if bond do trend bearish, then all long term shorts dies real
:fast in the usual bear spikes ...
:
:-Lawrence Chan
:
:
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