Traders' Roundtable

I always thought I could use my experience/intution/judgement to improve the performance of my mechanical systems. I spent hours a day reading the news and gauging sentiment, and then only took a system generated signal if my analysis was in agreement. The theory was that I could filter out the ...

It's hard to curve fit over 46,000 trades.

G'day Mark,
I get similar results to the one you show above on my systems. They all have quite smooth equity curves, and filtering trades does reduce net profits. But it might be misleading because we are only looking at systems that have worked well in the past.

How would filtering go on systems ...

For short term systems, my research has shown that trading them only when they are making money (eg average of last 20 trades > 0) improves average return per trade.

I don't know if it is such a good idea for long term systems where you are relying on outlier trades so much.