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Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS
dtatu
msg #113169
5/7/2013 9:38:13 AM

You're right, Kevin: systems are,indeed, never 100% accurate...Humans are much less,though. And, what usually happens is that when you finally decide to go back to the system you'll maybe hit the worst month of the year?

Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS
dtatu
msg #113136
5/5/2013 1:39:24 PM

Kevin, I can understand your decision to move into cash or in a low risk income instrument, but,this is not a decision based on a systematic, objective signal, but rather a more or less subjective one, based on some previous May results.
Then, why use a system if you do not follow it anyways?
At least, if you think there is a "seasonal" behaviour to your system, why not test it and, if positive results come out of it, trade it only seasonally?

Dan

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