> I think, it is perfectly right to differentiate between up- and > downward trends. > By and large downward seems in general much faster. > This would speak for a difference in parameters. > I always wanted to look at what happens if you do separately optimize > a upward-only > and a downward-only strategy and compose it later (going flat if both > are opposing) > and compare this with two-sided optimization. > > I separated my log-short strategies into long-only and short-only, and reoptimized. Got a big boost on all performance metrics. Don't know why this idea never occurred to me in the past several years that I spent on strategy design.
-- You received this message because you are subscribed to the Google Groups "JBookTrader" group. To post to this group, send email to [email protected]. To unsubscribe from this group, send email to [email protected]. For more options, visit this group at http://groups.google.com/group/jbooktrader?hl=en.
