Kaufman Constructs Trading Systems

Oddities in currency markets represented additional attractive trades. Opportunity seemed especially rich in the trading of deutsche marks. When the currency rose one day, it had a surprising likelihood of climbing the next day, as well. And when it fell, it often dropped the next day, too. It didn’t seem to matter if the team looked at the month-t

The bottom line was, after 17 programmers and 4 or 5 years of testing, the basic 4 or 5 systems worked best. Tom DeMark was referring to the time he worked for Paul Tudor Jones.

returns to a different outcome to the point where you start to develop a true distribution on your return stream, not merely the one actual occurrence. It’s a way of simulating more data. What results then is that your maximum drawdowns go out because there will be one simulation in there where those bad months hit together. What it really does is

Turtles had to be able to answer these questions at all times: What is the state of the market? What is the volatility of the market? What is the equity being traded? What is the system or the trading orientation? What is the risk aversion of the trader or client?