Mel Member Posts: 20 Joined: 3/4/2014  User Profile | I now know some things I don't know. 1)Is looking at strategy equity curves a good way to compare strategies? Different strategies have different capital investments for different % of time. Are the curves we look at really a normalized comparison, or should I compare something else? 2) It worries to mix numerous RTM trades in the same bucket as low hit rate, high return trend following trades. If a high allocation RTM trade eats the capital the day the big winning trend trade should have been entered, I am destroying the equity curve of the trend strategy. To know if this is going to happen, it seems if I am trading liquid lists, I would need to divide the lists into non-intersecting sets of liquid symbols to assure that one set of strategies doesn't destroy the equity curves of the others. I don't know how to create non-intersecting lists in OT. Only non-intersecting list tests can answer my worry, I think. Has this been addressed. 3) Is there an easy way to make strategies that generate both long and short signals to only take short signals? Or vice versa? Mel | |
