Quote from eurusdzn:
1a2b3cppp,
I am not in a position to give advice. I know, as everone does here that you can design
a simple mean reversion system and a simple trend following system. What if you cant determine/ predict market direction yet decide to trade both systems together. Swing trading that is.....taking a lot of trades on say the sp100 or 500.
Trades cluster telling you what type of market your in. Trades in one system at times outperform the trades in the other system telling you again what type of market you are in.
Apply a moving average or trend line to equity curve of the combined systems.
From backntests see where and when you will stop trading. Adjust position size/risk so
this is a tolerable drawdown.
Dont ask for advice or such as i am working on this myself. Just an idea.
But, i beleive you know all of this so maybe i dont understand the issue.