Copyright (c) LBRGroup 1996-2006. All Rights Reserved.
Testing for the Edge
Randomly entering a position can produce a profit 65%of the time. By applying simple filters, random entry canbecome breakeven or even slightly profitable.
This data gives a benchmark for a systematic trader tobeat in order ensure the system is successful due to
more then capitalizing off noise. “Noise” is analogous
with random price data.
•Let’s go through a 5 step exercise using a randomizer to
generate trade entries as a departure point for modelingprice behavior.