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I seem to recall reading about a test system, a TS EL strategy, that was
intended to generate random buy/sell orders. The intend was to test some
kind of bet size scheme. If I am not dreaming, the resulting equity curve
showed was erratic and ragged. Its purpose was to demonstrate that with the
proper betsize, maybe MM, the system showed it could make money, all due to
the betsize! Am I dreaming? Where did I see this post? I've searched the
sites I usally hang around without success ( Traders club, AAFT, and here) .
Please help.
PS-I have found some code that does the random number generation and I
though that this was the stuff on betsizing but it did not turn out to be
the stuff I was looking for.
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