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> Do you always know ahead of time when Greenspan is going to be in the news?
Yes. His speaches, congressional testimony and FOMC meetings are
publicized well in advance.
> How do you know what other news might occur?
You won't know about all world events in advance but all the government
reports that might affect your system are publicized in advance. There
is no reason the dates and times of publicized events can't be saved in
an ascii file and used as data(x) to make your system go flat until
after the event. Backtesting such a system is a problem because it can
be hard to find the dates and times of reports in the past but it's no
problem going forward.
So, a system is just a set of rules written in computer code. As long as
you always follow the rules and don't override them with "judgement",
it's a system. It's perfectly valid and easy to code for one the the
rules to be "go flat when Greenspan speaks."
> The problem that Robert raises (the problem of price shocks) is a very real
> one for the system trader.
Price shocks are a problem for all traders, not just system traders. If
China suddenly nukes Taiwan, it will affect all of us. Your method or
system has to be able to minimize the pain and maximize the gain of
unexpected events. Let's face it. Sometimes sh*t happens and you lose
money. Sometimes you get lucky and make a bundle when it hits the fan.
--
Dennis
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