what is more important to me than the choice of the figure is persistence in certain environment, like bull/bear, low/highVola
there seems to be a couple of groups out there on this topic - those who believe in systems that should match regimes or environments, and those who believe that a system with a true edge should work in multiple markets and in multiple regimes.
are you suggesting that a system should persist over multiple environments, or that systems should be implemented based upon the environment? I haven't looked into material on this divide specifically, but have seen a good number of posts, articles, and books where the author's view shows through.
trade optimization
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cpptrader
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trade optimization
If I owe a million dollars I am lost. But if I owe $50 billion the bankers are lost. -Celso Ming
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nodoodahs
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trade optimization
I'm in the "work in all environments" camp here, although it's a fascinating question.
Really what you have, if you believe that a system should be tailored to an envrionment, is just a system that "works in all environments" and that is comprised of at least two elements: (1) a market-timing element that determines what sort of "environment" it is, and (2) a trading system.
Think of CAN-SLIM as such a system. Individual stocks are traded based on their momentum and fundamental growth, but they are only traded when the market is in a confirmed uptrend.
Is that a system which only works in one environment, or is that a system that works in all environments, thanks to its switch to cash in some environments?
Really what you have, if you believe that a system should be tailored to an envrionment, is just a system that "works in all environments" and that is comprised of at least two elements: (1) a market-timing element that determines what sort of "environment" it is, and (2) a trading system.
Think of CAN-SLIM as such a system. Individual stocks are traded based on their momentum and fundamental growth, but they are only traded when the market is in a confirmed uptrend.
Is that a system which only works in one environment, or is that a system that works in all environments, thanks to its switch to cash in some environments?
I haven’t seen a beatin’ like that since somebody stuck a banana in my pants and turned a monkey loose.