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I just want to confirm Robert's feedback regarding Aberration and set the
record straight about FT reports:
a) Aberration is indeed traded using the SAME PARAMETER VALUE (80) on ALL
markets.
b) Indeed, the CHANGE in case of Aberration is that the PROPOSED MARKETS
TO TRADE for each account-size has been changing over time. In fact the last
such
change of markets to trade it on was couple of months ago. I don't suggest that
this is right or wrong, I just report how it ACTUALLY IS in case of Aberration.
c) FuturesTruth seems to do a fairly decent job reporting the performance of
Aberration. Their report on it, covering the period 1-Jan-1986 until 31-Aug-2000
shows the system TO STILL BE IN DRAWDOWN SINCE MAY-1997, 824 days
after having made its last equity peak. They're testing it on the SAME portfolio
of commodities which was proposed by the system's developerinitially
(apparently in order to show inflated backtesting results, and make it to the
Top-10 of FT back in the mid-90s).
Regards, M.
At 06:52 μμ 21/12/2000 -0000, you wrote:
>Although these values are given as the "optimal" for Aberattion its
>developer uses the SAME number for all commodities (80). So whether the
>"optimal" changes or not doesn't matter.
>
>He RECOMMENDS using this SAME number for this parameter for ALL contracts
>and I'm (almost) certain that it is the system using the single 80 invariant
>value that is tracked by Futures Truth.
>
>I've said it before (I think on this list) but much more important to system
>like Aberration is the CHOICE OF MARKETS TO TRADE IT ON (the system itself
>is "edgeless", ie it has no edge).
>
>It is here that vendors like the seller of Aberration fall over. Every so
>often the recommended portfolios for particular levels of equity are changed
>(not much, but changed nonetheless). I haven't looked for a while but for
>Aberration the last big one was the inclusion of a few London metals
>contracts in his "global" portfolio. Without metals and every 10yr bond
>future the world has ever known in the portfolio the performance would have
>been MUCH worse over the last few years...
>
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