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Hi Dennis,
Thank you for the response.
I'll preface this with the fact that I'm not looking to win a debate but
only have one purpose in mind and that is to find something that has a high
per annum return with low draw down.
It seems to me there are no systems I've seen to date that don't try for the
above product without looking in the rear view mirror to some extent. I'm
aware that over optimization, not testing sample out of sample and looking
for the mean in output so as to achieve robustness are the order of the day
and they certainly appear to improve performance. I will grant that I've
only looked at maybe 50 to 60 systems as well as writing some of my own so
I'm not as knowledgeable as a vendor that "wrote the book" on systems. I'm
also not looking for the holy grail, on the other hand I'm not going to
close the door because someone made that a nasty sounding statement as if
one would be embarrassed to mention it.
That having been said, I do agree with your statement "The goal of all
traders should be to identify aspects of market behavior that do not change
over time." Would you mind sharing any that you have been able to identify.
Regards,
Michael
----- Original Message -----
From: "DH" <catapult@xxxxxxxxxxxxxxxxxx>
To: "Omega List" <omega-list@xxxxxxxxxx>
Sent: Thursday, July 25, 2002 11:35 AM
Subject: Re: BASIC PREMISE
> > The
> > pattern does not last forever and will change. When the pattern changes
and
> > is no longer profitable then it is time to look for a new pattern or
> > "update" the existing parameters to bring about profitability in the
extant
> > pattern.
>
> IMO, that's a premise destined to lose money. You can't know the future
> so you will always be driving looking in the rear view mirror. In other
> words, you won't know the market has "changed" until after the fact and,
> by then, you will have lost a ton of money. The goal of all traders
> should be to identify aspects of market behavior that do not change over
> time.
>
> --
> Dennis
>
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