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In a message dated 11/24/99 11:30:30 PM Pacific Standard Time,
R.Bianchi@xxxxxxxxx writes:
<<
If your trading system goes from being a profitable system on the 8% to a
losing system on the new 6% bond, then I would argue that your system is
too sensitive and is a huge curve fit. The basic "technical" and
"fundamental" characteristics of the two bonds are the SAME and slight
changes in RELATIVE VALUE between the two should have little or no effect
on a robust trading system. If you feel your system may be effected by this
change, then you should really look at improving the robustness of your
system.
Robert Bianchi >>
Hi Robert,
Thanks for your detailed response. Your comment quoted above is exactly why
I wanted to run some tests on the 6% bonds. Although I believe my bond
systems are robust I have found that it is best not to assume anything when
you can test it. I thought I would prefer to find out any bad news by
testing rather than losing real money. Thanks again for your very helpful
info.
Chuck
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