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> The closest I have come to symmetry is a system
> that used somewhat the same but inverted rules
> for long and short but different values for the
> indicator parameters.
I've always written symmetrical systems, with the same rules and
parameters for long and short positions. I figure I have no idea
which way the market is going to move, so I shouldn't try to
predict it by running a system that favors longs or shorts.
My favorite system runs on intraday ND/NQ. It's performed very
consistently since the start of trading in the ND in 1996. Over
that whole period it made 48.8% of its profits on the long side.
It changes a bit as the market changes -- for the 2 years ending
mid-2000 (while the ND tripled in value) it made 68.4% on the
long side, from mid-2000 through 2002 (when the ND dropped 80%)
it made 31.9% on the long side -- but overall it acts pretty
symmetrically.
(And even this robust system has been having a rough time of it
for the last year. *sigh*)
Maybe I'd do better if I made it "faster" on short positions, but
the simpler model requires fewer parameters (less curve-fitting)
and it's worked pretty well for me.
Gary
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