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An equity dip (or just flattens in your case...lucky you) when market
conditions are profitable for your model, is likely just noise and part of
the aspect of trading that shows it is simply probability based i.e. you
don't get 100% winners in suitable market conditions, so the wins and losses
will just come randomly with a distribution based on your win%. Even an 80%
wining system will hit several losers in a row sometimes even when
conditions are ideal. Market aren't always explainable, even at the best of
times.
Adrian
-----Original Message-----
From: David Pyle [mailto:dpevergreen@xxxxxxxxx]
Sent: Saturday, 7 March 2009 4:20 PM
To: 'Omega List'
Subject: RE: Untradeable Market Characteristics
My question is more general theory. What are untradeable conditions?
I understand that as systems switch between active and idle that there are
missed trades. These are acceptable as are price patterns that are not
aligned with my systems approach.
My surprise has more to do with when my account equity curve flattens when
market conditions seem tradeable based on my system's history.
dp
--- On Fri, 3/6/09, Adrian Pitt <apitt@xxxxxxxxxxxxx> wrote:
> From: Adrian Pitt <apitt@xxxxxxxxxxxxx>
> Subject: RE: Untradeable Market Characteristics
> To: dpevergreen@xxxxxxxxx, "'Omega List'" <omega-list@xxxxxxxxxx>
> Date: Friday, March 6, 2009, 8:52 PM
> Dp,
>
> Can you explain what you mean by each system competes
> against each other? Is
> only 1 model trading at any one point in time, depending
> upon market
> conditions?
>
> Also, what do you define as 'untradeable market
> conditions'? Is that just
> times when your models are switched off?
>
> What are some of the price patterns you feel are
> untradeable within a
> multi-system approach?
>
> Adrian
>
> -----Original Message-----
> From: David Pyle [mailto:dpevergreen@xxxxxxxxx]
> Sent: Saturday, 7 March 2009 3:44 PM
> To: 'Omega List'
> Subject: Untradeable Market Characteristics
>
>
> Hi,
>
> I am running a system that does well under several market
> conditions. It
> sets three system against each other to compete for trading
> rights.
>
> I have become interested in nontradeable maket conditions.
> I am surprised by
> the price patterns that appear to be untradeable within a
> multi-faceted
> system.
>
> Has anyone done any work on untradeable market conditions?
>
> Thanks
> dp
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