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When I was snipping the message I made it look like the message I was
responding to was posted by Mark Brown. Sorry Mark. I agree with your
response.
The message I intended to respond to was posted by John Sweeney. Good topic.
<< > 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 >>
One of the problems with systems that depend on the big winners is that
these
winners are fairly rare in the historical data and that makes it too easy to
curve fit a system to capture them. However I would not fault a system that
happened to capture some big winners while still being profitable without
them.
A good trading system should be able to survive by taking what the market
happens to offer at the time, big or small.
When fishing, a smaller hook might catch big fish as well as some smaller
ones. If the smaller hook is strong enough to catch the big ones, why build
a system with a hook that is too big?
Chuck
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