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4min chapter
194: “How to improve trend following performance” – David Lundgren
Better System Trader
Why I Don't Backtest When Regimes Determine Outcomes
I'm just not convinced that the data sets that we're backtesting are very reliable, certainly not pre 1990 1980. So I have a lingering suspicion about it to begin with. Do I really want to put a lot of weight on backtest when, when regimes determine outcomes? That's the problem. You know, you have situations where, where quantitative easing changes the landscape and it can materially alters what happens in a model because it just changes. And these things are unavoidable. They actually have to happen before,. before you can buy them in a trend following space in a trendFollowing process.
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