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For one thing, the future is not the same as the past.
A strategy designed for the past might not work for ever.
-Neal.
At 07:12 PM 12/11/2002 +0200, MT wrote:
>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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