RE: Limited life span of mechanical systems?

[Jim Mann <mannjt@xxxxxxxxxxxxxx>]

B. Fulks wrote:

I do not believe that filtering trades based upon the equity curve
has any validity.

If it did, this implies serial correlation - and so you should be
able to figure out why the system is failing under some market
conditions and fix it.

Bob Fulks

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You can try the following to fix a "broken"  equity curve:

1.  Plot the Long and Short equity curves.
2.  Determine the extended times when the curves are failing - worst drawdown periods.
3.  Relate these times to market conditions.
4.  Filter the system based on detecting these market conditions.

4 is easier said than done.

Jim Mann