a holding period and total profit question

Discussion in 'Automated Trading' started by kx001, Jan 10, 2013.

  1. kx001


    Hi everyone

    I'm developing the strategies to trade futures. becuse it's about future trading, I'm not able to hold these futures for long period. so I set the constriants in my system. but it causes the problem. the constraints improve the winning rate, sharpe ratios; reducing the holding period, but they also reduce my total profits. After simulating out-of-sample walk forward test for 20 years, the total compound return is reduced half after adding those constraints.

    is there anyway that i can reduce the holding period without damging the total return?

    many thanks,