Russell 2k has a fairly high correlation to ES nowadays, I think you would end up simply with higher returns coupled with equally higher drawdowns. Your best bet is to trade futures from a different country or going with something like an emerging markets ETF (much lower correlation as compared to Russell 2k). I won't mention something like energies as your edge in those probably won't work.
Trading algorithm stopped working(?)
- Thread starter AlphaMale
- Start date
Russell 2k has a fairly high correlation to ES nowadays, I think you would end up simply with higher returns coupled with equally higher drawdowns. Your best bet is to trade futures from a different country or going with something like an emerging markets ETF (much lower correlation as compared to Russell 2k). I won't mention something like energies as your edge in those probably won't work.
Just my opinion but personally that raises a big red flag and strongly suggests your system is over fitted.
Bummer, there went the $10m investment, anyway HTW cares about money, I'm lucky in love...
Good luck with everything - you were smart enough to create a winning strategy for a while which is more than what most can achieve. Take a break, enjoy life and come back to it with fresh eyes - you might find a new edge
Murray Ruggiero
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He optimized random elements coincidentally associated with non-random elements. A fluke that can't work but labeling it over fitting perpetuates misuse of that term. An over fitted strategy is assumed to have targeted non random elements but it found a peak rather than a plateau. If we can't make the assumption a strategy targets non random elements then the difference between peak vs plateau would be moot and the term over fit wouldn't have any meaning at all.
I read this message 3 times but I still don't get it. Perhaps you could explain what 'random' and 'non random' elements are? Maybe with an example?
GAT
Sorry still don't get it. Can you give an example