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Re: Waiting for the big one



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Giving back funds????????????

May I suggest a charitable contribution to the "GERALD
MARISCH WIDOWS AND ORPHANS FUND"?

Details upon request.

Gerald Marisch
----- Original Message -----
From: Jim Allen <jallen7@xxxxxxxxxxxxx>
To: Mark Brown <markbrown@xxxxxxxxxxxxx>
Cc: <omega-list@xxxxxxxxxx>; John Sweeney S&C
<JSweeney@xxxxxxxxxxx>
Sent: Friday, June 11, 1999 13:35
Subject: Re: Waiting for the big one


> I guess if you really disliked having these anomalously
large profits in your
> 100 or so trades per year, you could always give the
profits on those trades
> back to the broker when they happen.  So as not to sully
the statistical purity
> of your results, of course.
>
> Jim Allen
>
> Mark Brown wrote:
>
> > > Remember the thread earlier this month where people
thought you should
> > throw out the extraordinarily large gains when assessing
a system's
> > performance? I don't think you should. Those are the
elephants you're
> > hunting. If they never occur, you've got a
system/tradable with no real
> > upside potential.
> > >
> > > John
> >
> > John,  I can no speak for others but I wish to make my
point on this
> > subject.
> >
> > 1.) If you are a position trader who makes 5-15 trades a
year following a
> > "TREND" method.  One probably should not throw out the
big winning trades I
> > would agree.  After all that is what the system is
designed to do.  However
> > I dislike these types of systems for many more reasons
than I have time to
> > discuss.
> >
> > 2.) If you have a system that trades perhaps 50 to 125
trades a year and
> > these average trades are dependable in size.   Then what
I have done is to
> > discount the few extraordinary winning trades by about
25%.   There are few
> > of them and so I don't want to become dependent on
thinking they will always
> > be there like a "TREND" follower.  In fact I had much
rather see if the
> > model will hold up without any huge anomaly winning
trades, then when I do
> > get them we order cheesecake!
> >
> > Mark Brown
>