Quote from phattails:
So, let me get this straight... you have key statistics that you use for the sub-categories that ulimately tell you how to allocate your money. And you have categorically different systems that relate to each other under a certain condition, and you're trying to figure out how to measure and/or categorize them. Is this correct? Do you notice this sort of thing with other different systems or just this example?
Why not categorize your functions by an attribute of times
(shocks in security types,market volatility, economic conditions, interest rates,correlation to portfolio, contango/backwardation, yieldcurve,etc.) ? If you're trading off of these signals without an explanation, then you could create variables for the relationships.
Out of curiosity... how do you compare the categories-- what do you do after you have your grand measure?
1. Key statistics don't tell me shit. It's a measure. cold, hot, hotter, hottest... etc. etc.
2. I'm always testing for something better for anything.
3. Different systems? Is this semantical stuff... systems meaning portfolio models? For discussion purposes, let's keep systems as systems and portfolio systems as... Portfolio Models????
4. I've got others. Running multiple "portfolio models" may be complicating for a few but you just need to get used to it. I've over-simplified what I wrote. The key to monitoring multiple "portfolio models" consists 2 things. You need to program both the logic (obviously) and the presentation (An easy to use Windows GUI) so that it's easy to manage.
5. Categorizing by functions are too parametric. The functions you mention are what changes in the market, not something to be used as a category.
Seriously, don't you notice that what you mention is something that has to be dealt by the "trading system"? I get a feeling you're relating your questions based on single system development process. Though similar, the approach is different. Interesting how you mention "these signals". Seriously, don't you notice that what you mention is something that has to be dealt by the system?
Also, what you mention does not include in my list of "tendencies".
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