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> Take another distribution
> of returns of 1% a month for 9 months, 20% the next, 50% the next, and
> 70% the last.
I think it's been pretty well demonstrated here and elsewhere that it's
a mistake to over-optimize a system to try to capture a few big winning
trades. We've all backtested systems like that which were "too good to
be true." Those kind of systems are unlikely to continue performing as
well in the future. Which is more likely to be repeated in the future?
The 9 months of poor performance or the 3 months of outstanding
performance?
Me, I'd take the slow steady (under)performer and up my leverage if I
thought it needed to make more money. Of course, that's assuming futures
trading where leverage is something you can control.
--
Dennis
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