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Another possibility is to analyze the equity curve itself so as to go live with the system when good performance is expected and to either reduce risk or just paper trade when performance is expected to be negative. Are a series of positive returns followed by negative returns (i.e. is there mean reversion)? Does a trend-following "meta-system" and/or a ...


4

Be careful when you optimize the exit parameters (and any other parameter) as you could get better results in backtest that will only be due to over fitting. IF you haven't done that yetn use In and Out sample to verify your improvements. After that you can try to build entry filters. In my experience trend following usually have bigger drawdowns than mean ...



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