That shouldn't be hard to do. All we need to do is to
identify a period in the past with low volatility and then optimize
some systems for that environment. Then we could do a walk
forward test to see how the would have worked recently.
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That shouldn't be hard to
Mechanichal systems
Posted by algyros on 21st of Oct 2010 at 07:32 pm
That shouldn't be hard to do. All we need to do is to identify a period in the past with low volatility and then optimize some systems for that environment. Then we could do a walk forward test to see how the would have worked recently.