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> In the description given in Colby and Meyers' book, the
> author used a technique he called "variance reduction" to
> determine significance. I could never decipher what the hell
> he was talking about though.
I will settle for Sharpe and Kelly. Like them as a good combination.
> This technique can be programmed in EL. You simply program it
> as a "system" which allows multiple passes thru the data
> during an optimization.
Could you elaborate on that a little? Are you saying samething like making
an exit that simulates exiting 3,5,7,10,15 days, delivering statistics for
the average sharpe for all of those trades when run is done? And at the same
time getting it to run over the universe of stocks with the output at end? I
thought that would be close to impossible in Tradestation.
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