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Hello Charles,
CJ> Mark, some basket models, such as Aberration (which I know you
CJ> have criticized) are very simple, use the same parameters for all
CJ> securities,
stop - the optimal parameters according to the two different manuals i
have which were purchased years apart show that the optimal parameter
has changed on all but a couple of the commodities traded. dispute
that and i will have to publish it again i did it once on this list it
is in the archives. so this is "a fact" the parameters have changed.
not to mention the friggin baskets! criminal!
CJ> were released a long time ago, and produce positive returns over
CJ> time if one can tolerate significant drawdowns. In several of
CJ> these respects, they resemble Oddball.
if one market was picked and traded using abber it's equity curve in
terms of drawdown would not even come close to oddball - besides how
did oddball get thrown into this? this is about a fit all basket type
system on daily data, trying to use diversification to survive.
i claim if a system doesn't hold it' own on a individual commodity
basis then what good is that. all this exercise is just for people
who can not model - can not be honest with themselves - have no talent
for trading - are greed struck and did i mention stupid? mostly they
will be control freaks who think their professional career success
buys them the right to know something about modeling.
the sad perpetuating fact is that some are successful and we all here
about these successes, sang to the high heavens by the few who hit the
lotto. come one come all, see how i lucked out - you can too follow
me jump right in. btw be sure to subscribe to our monthly newly
updated recommended portfolio and our new model of the month club.
--
Best regards,
Mark mailto:markbrown@xxxxxxxxxxxxx
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