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Re: Limited life span of mechanical systems?



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: The equity curve filter does work, you Lucky Bastard.   It
: requires more programming and that's why some people don't understand it,

Or need it.

Attached are 2 GIF files of a system on the S&P 500, trading one contract
with $250 slippage and $20 commission. SP250.GIF is for when the S&P is
worth $250 per point. SP500.GIF is for when the S&P was worth $500 per
point, with the adjustment necessary to reflect the split after Oct. '97.
Sharpe Ratio of + 4. :-)

And robust enough to trade on 4 other markets.

Attachment: Description: "sp250.gif"

Attachment: Description: "sp500.gif"