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----- Original Message -----
From: "Martin Luescher" <mluescher@xxxxxxxxxx>
To: "Alex Matulich" <alex@xxxxxxxxxxxxxx>
Sent: Sunday, January 18, 2004 4:07 PM
Subject: Re: Performance Report
> Another suggestion would be to design two systems, one system for short
and
> one for long, using both the same method.
>
> There are people who claim that a system should be absolutely symmetrical.
> Each one should decide at his or her own wether this is true or not.
>
> After you designed the two systems you join them to one system for long
and
> short. It takes some dicipline to threat each position (long and short)
> independently for the open and the close. However the results can increase
> dramatically. If the design was proppre and the backtesting figures and
some
> walk forward testing show no failure and the appropriate risk- amd
> moneymanagementrules are taken I see no reason why you should not design
and
> trade such a system.
>
> Martin
>
> ----- Original Message -----
> From: "Alex Matulich" <alex@xxxxxxxxxxxxxx>
> To: <omega-list@xxxxxxxxxx>
> Sent: Sunday, January 18, 2004 6:05 AM
> Subject: Re: Performance Report
>
>
> > Compra dun:
> > >I am working on a ES daytrading system. I am review the system
> > >performance report show that over a 3 year period, the Longs
> > >dramatically out perform the Shorts I am baffled by these results
> > >because the rules for entries and exits for the longs and short are
> > >the similar (albeit opposite). The market has risen and fell, gone
> > >through various levels of volatility and the results for the longs
> > >consistently beat the shorts.
> >
> > This is not surprising to me. The best performing systems I have
> > had the privilege of testing had asymmetrical rules for long and
> > short. Especially with something like the S&P, where the movements
> > are actually asymmetric (over a long term it's biased toward longs,
> > and it tends to fall a bit faster than it rises).
> >
> > I can't say that this applies to daytrading, but it might.
> >
> > >Is this making a lot out of a little? Are there some trading systems
that
> > >only succeed on the long side?
> >
> > I've seen some EOD bond systems that can only make long trades;
> > trying to use the same rules for short trades make the system
> > perform poorly.
> >
> > --
> > ,|___ Alex Matulich -- alex@xxxxxxxxxxxxxx
> > // +__> Director of Research and Development
> > // \
> > // __) Unicorn Research Corporation -- http://unicorn.us.com
> >
>
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