Optimizing or curvefitting

Discussion in 'Strategy Building' started by indahook, Mar 22, 2004.

  1. SPX during this entire period.
     
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    #71     May 15, 2004
  2. just a few comments.

    Both portfolios have a Max size of 100k. one of the position sizing rules is each pos is 2% of that figure but neither of them have yet to use even half of that 100k. They usually run about 10-25 positions at a time per each side. Using about 40-60% of the total buying power. By keeping the postions small I am trying to avoid a risk of ruin scenario. But on the flip side if I increased the %`s of the holdings my return may be greater...or worse. I may tinker with that as well.

    These totals are NET of all fees and charges
     
    #72     May 15, 2004
  3. Yes, I relate and well said.

    Michael B.


     
    #73     May 15, 2004
  4. When I develop a system I am merely looking for modest results. I find that the looser the system, the longer it works.

    Spending time to fit the system to the historical price set is not a good use of time IMHO (But I have changed my mind before).

    Position Size Management (PSM) based on the price action, equity curve and the way the method actually trades is where it's at. If you start with a breakeven strategy that is a great start!

    Michael B.
     
    #74     May 15, 2004
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    #75     May 16, 2004
  6. Thanks for sharing.

    What market do you trade? How many trades do you do on average per day? Do you execute manually or autotrade them?
     
    #76     May 16, 2004