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10 different factors ? Way too much. Totally breaks the "simpler is better" rule.
I've torn my hair out trying to add filters....a true exercise in frustration.
Can you help answer these questions from other members on NexusFi?
I believe he is saying he tried different filters to improve performance while reducing # of trades. Not that he had 10 inputs optimized in a startegy.
Absolute return- means just letting the system run as is, no adjustments are made to the system for leverage (increased or decreased), volatility or position sizing purposes. Some funds attempt to moderate volatility, my system makes or loses what it does.
Kevin is correct, I attempted 10 different factors, one at a time, to try and filter trades, in an effort to bring down the number of trades and hence trade costs .......
I didn't actually try to improve performance, I was actually wiling to give up some performance in an effort to moderate trading and reduce trade costs. Attempting to reduce daily volatility. If I reduced performance by 25% and trades by 30%, that would be a dramatic improvement psychologically and confidence wise.
That was in 2021, around mid year I stopped fiddling around with new iterations, and just traded the system, using steadfast discipline, and just accepting returns, good or bad (so far good).
4 down months out of the last 17 (good) with 4 greater then 20% drawdowns with 30.33% being the largest (bad), oddly 2 of the > 20% drawdown months ended with positive returns .........
But this trading life isn't easy, every 25% drawdown starts as a 10% drawdown, and every story of a blown up account starts with a 10 and eventually 25% drawdown!
