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"Correct" modelling in the mathematical sense would involve an agent-based
model as large as the market itself, which is a tad on the complex
side. "Correct" as in "workable" doesn't usually involve much more than a
trend filter, a volatility filter and entry/exit criteria, and yes, the
simpler the better - complexity in a trading rule set is usually a symptom
of overfitting.
Regards,
Stefan
At 11:23 07/05/03 -0700, David Colin wrote:
I would be curious to hear from the successful traders on the list whether
the profitable mechanical systems they use to trade the markets are mostly
simple or mostly complex? By complex I don't mean how much code it takes to
express an idea. I mean *conceptually*, is it simple or complex?
One reason I ask is that I have mostly found an inverse correlation between
cost and worth. The most worthless things I have seen have been extremely
expensive, while the best things I've seen have been cheap or free. I am
wondering if there is a similar inverse correlation between correct
modelling and complexity.
Just curious anyhow.
TIA,
David
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