Independently Non Profitable Systems Enhancing Overall Perfo
Posted: Tue Mar 23, 2010 1:42 pm
Anybody got any thoughts on using systems that on their own are not profitable but seem to enhance the profitability / risk return characteristics of other systems / baskets of systems ?
Ive been messing around overlaying the Bollinger Counter Trend System on top of a couple of longer term more robust and profitable systems and it definaely enhances the risk adjusted returns - cagr usually stays the same but draw downs eased.
Problem I have is I cannot bring myself to overlay a system that is independently a loser with a left to right downward sloping equity curve in the long term - I really dont know if I'm right or wrong but something is telling me to ignore it ?
I know there has been previous talk in this area and someone talked about the introduction of non correlated systems such as the short component of a long only break-out system - but personally and I guess its a personal thing - I do not see this as being the same ?
Also the trouble with the bollinger counter trend system is the results can vary so widely with small changes in parameters and the only parameters that seem to work are those that effectively turn it into a poorly performing trend following system by setting the exit threshold out at -6/ -7 / -8 which means you really never exit the trade for years ?
Any thoughts anyone
Cheers
Chris
Ive been messing around overlaying the Bollinger Counter Trend System on top of a couple of longer term more robust and profitable systems and it definaely enhances the risk adjusted returns - cagr usually stays the same but draw downs eased.
Problem I have is I cannot bring myself to overlay a system that is independently a loser with a left to right downward sloping equity curve in the long term - I really dont know if I'm right or wrong but something is telling me to ignore it ?
I know there has been previous talk in this area and someone talked about the introduction of non correlated systems such as the short component of a long only break-out system - but personally and I guess its a personal thing - I do not see this as being the same ?
Also the trouble with the bollinger counter trend system is the results can vary so widely with small changes in parameters and the only parameters that seem to work are those that effectively turn it into a poorly performing trend following system by setting the exit threshold out at -6/ -7 / -8 which means you really never exit the trade for years ?
Any thoughts anyone
Cheers
Chris