Can different instruments be traded on long- and short- side for each strategy now?
________________________________ From: nonlinear <[email protected]> To: [email protected] Sent: Mon, March 14, 2011 1:54:54 PM Subject: [JBookTrader] Re: bias 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. -- 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.
