Ep. 519: Another Mega Trend Following Episode with Michael Covel on Trend Following Episode
Michael Covel's Trend Following
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How to Optimize Your Trading System
You don't optimize to one metric. You use a blend of metrics, and by that I mean you can mix a return element with a, with another concept such as efficiency or something like that. That's one way to prevent curve fitting. Another way is to obviously create an out-of-sample hypothetical return set and then compare that to what you actually were producing when you're re-optimizing existing systems. It's amazing that these core philosophies and many core strategies have continued to excel," he says.
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