004: Nick Radge discusses system design, the best type of trading systems, handling a bear market, measuring performance and the difference between successful traders and everyone else.
Better System Trader
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Strategy Testing
The way i was always taught about insample and out of sample data is you divide your data into three parts. If those two outer sample periods are similar to that middle sample then you're on to something, but usually they'll be way out. The other issue, especially for our equity based trend following strategies, is what we've been talking about. Well, it's very different periods of time, ok? And that was a very, very nasty period of time. It could happen again, but it's going to impact a trend following strategy in a certain way. I just simply don't really agree with optimization whatsoever.
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