Tuesday, May 22, 2012

ESCombo 3.0

I have taken the work mentioned in the previous post on trade filtering and applied it to the ESCombo system. This resulted in a general improvement in almost all system metrics. Most importantly, it shows better performance in the current market. This system will be published soon on siftradingsystems.com, but in the meantime here is the performance curve with a comparison to the ESCombo 2.0 system, which has been a steady performer the past couple of years.

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