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The problem I see is that a one parameter fits all systems "widely
diversified" was fitted to some bench mark of noise across the board.
These volatility bench marks which outside or triggers the trade are
changing all the time. So it would be very safe to say that any
method which has to crutch on such a shotgun approach is deteriorating
just as the stability of the markets are.
What you will wind up with is a "whip you to death" model and you will
have to continually add new contracts such as Aberration and Catscan
have done all thru the years. These methods "though admittedly" are
profitable for a lucky few who hit the right basket at the right time.
But more so often they destroy the masses with huge catastrophic
losses.
I think it's really unfair to tout a system or trading method simply
for the sole purpose of peddling software unless that method did
actually work. I do not think that continually adding and changing
parameters of a system or method such as basket trend following can be
justified as being successfully either. The adjustment is itself an
admission of failure.
Mark Brown
> A third drawback: This approach has always got a lot
> of simultaneous (small) positions, so it's always
> exposed to price shock risk, "Black Swans" as the
> press likes to say, in a lot more ways than other
> traders. If there's huge price shock in Crude Palm
> Oil, I'll get injured when most other traders won't.
> On the other hand, if there's a huge price move in
> an obscure market, and I happen to be on the RIGHT
> side of it (like the bull move in LME Aluminum Alloy
> in February 08), then I catch a windfall that few
> other traders do.
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