Don't just optimize, diversify

摘要

Few trading systems are complete without the addition of a diversified portfolio and, in most cases, even more trading systems. By combining markets and systems, we can earn the cumulative profits while incurring more reasonable drawdowns. The classic approach to developing trading systems is to develop a set of trading rules and parameters that work well on one particular market. One of many problems this can create is that the system tests will generate so few trade samples that the system's hypothetical prof-itability is sheer coincidence.