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Bob Fulks wrote:
>
> At 6:26 PM +0200 12/8/02, MT wrote:
>
> >On the subject of OddBall, which was brought up again, I digged a post
> >Bob Fulks made a few months ago, quoted below. Maybe Bob will be kind
> >enough to share with us how this particular version performed
> >out-of-sample during the last 5 months. Has the historical MaxDD
> >remained at $22k ?
>
> I haven't looked at it for a while so I did check it.
>
> Attached is the equity curve since 1/1/2001 with the original settings.
>
> The past 5 months have been pretty flat and maximum drawdown is now $32,000.
>
> It must be that all those people trading Oddball have caused it to stop
> working...
>
What would be the mechanics that would cause a system like OB to stop
working ?
I understand that in the case of a very short-term strategy, the quality
of fills would suffer if it were traded with increased size.
Regards, Michael
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