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> just wondering if anyone has had any success in charting theoretical
> euity curves and then trading real time once new equity highs have
> been reached. If so how was it done/ how did you do it :O)
I agree with Jack. Trading the equity curve means you take all
the losers that drive you down below the average, and you miss
all the winners that bring you up above the average again.
This can work with bad systems that are prone to long streaks of
winning and then long streaks of losing. Say you have a simple
"buy the dips" system. In the SP this would have worked great up
until about March 2000, and it would have tanked for the next two
years or more. An equity-curve filter might help to keep you out
of the market while the system is in a losing mode, but I gotta
think it would be better to improve the system so it doesn't have
those huge strings of losses in the first place.
There may be some more-sophisticated money management approaches
that could benefit from an equity-curve approach, but I haven't
dug into that deep enough to know for sure.
See http://www.purebytes.com/archives/omega/2001/msg10482.html --
I posted an indicator that displays the unmodified equity curve
and a simulated equity curve that approximates what you'd get if
you only traded when the equity curve was above an xaverage of
the equity curve. For most decent systems it's a loser.
Gary
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