correlation
Posted: Tue Apr 29, 2003 2:11 pm
Great discussion.
when testing other long term trend following systems (several actually)
using a simple fixed fraction money management,
No pyramiding or othe turtle rules, we find that paying less attention to correlation and including highly correlated markets yielded better results across the board.
However, we also discovered that we had to be extra careful with risk per trade....as correlation can work both ways.
We tried limiting the markets but increasing risk per trade (logic was...since correlation was high...why not just trade more per trade and less markets....this didn't compensate for allowing correlation to work.
yp
when testing other long term trend following systems (several actually)
using a simple fixed fraction money management,
No pyramiding or othe turtle rules, we find that paying less attention to correlation and including highly correlated markets yielded better results across the board.
However, we also discovered that we had to be extra careful with risk per trade....as correlation can work both ways.
We tried limiting the markets but increasing risk per trade (logic was...since correlation was high...why not just trade more per trade and less markets....this didn't compensate for allowing correlation to work.
yp