Traders' Roundtable

Forum Mgmnt, could you tell us what was the Sharpe Ratio for your test 1 from 1983 to 2002 WITH correlation limits?

People are theorizing: what results would I get, if I ran this test? The answer is, of course: run the test and find out. No theorizing necessary. People are also asking: what if something really bad happens in the future, that never happened in the past? What if I'm long Swiss Franc and short Coffe...

The conventional-wisdom recommendation "Dont trade correlated markets" is often repeated but seldom tested. I decided to run a couple of tests myself .... Fascinating :shock: stuff. Quite a bunch of numerical results too, at this URL: http://traderclub.com/discus/messages/18/2096.html?Mon...