Search found 4 matches

by Luke
Mon Aug 25, 2003 6:58 am
Forum: Testing and Simulation
Topic: ;-)
Replies: 16
Views: 9700

I always thought I could use my experience/intution/judgement to improve the performance of my mechanical systems. I spent hours a day reading the news and gauging sentiment, and then only took a system generated signal if my analysis was in agreement. The theory was that I could filter out the trad...
by Luke
Mon Jun 30, 2003 1:47 am
Forum: Money Management
Topic: Algorithms for trading the equity curve
Replies: 31
Views: 28129

It's hard to curve fit over 46,000 trades.
by Luke
Tue Jun 24, 2003 2:05 am
Forum: Money Management
Topic: Algorithms for trading the equity curve
Replies: 31
Views: 28129

G'day Mark, I get similar results to the one you show above on my systems. They all have quite smooth equity curves, and filtering trades does reduce net profits. But it might be misleading because we are only looking at systems that have worked well in the past. How would filtering go on systems th...
by Luke
Wed Jun 18, 2003 9:24 pm
Forum: Money Management
Topic: Algorithms for trading the equity curve
Replies: 31
Views: 28129

For short term systems, my research has shown that trading them only when they are making money (eg average of last 20 trades > 0) improves average return per trade.

I don't know if it is such a good idea for long term systems where you are relying on outlier trades so much.