April 26, 2005

CGChaves Principles

CGChaves views about "robustness" and "systematic" trading:

"CGChaves considers a high degree of robustness to be essential. With regard to the design process of trading systems, this has led to three fundamental principles:

1. The same systems are used across all markets.
2. The same parameter settings are used across all markets.
3. A small variation in any parameter should not have a large impact on the results of a system.

These principles limit the risk of curve fitting and over optimization; in other words, maximize the chance that historical results can be repeated.
CGChaves' trading systems are not models. They do not attempt to forecast fair values or equilibrium price levels, and they are not based on an economic theory that risks becoming out-dated. Systems are dynamic and reactive by nature, they respond to changes in a consistent way."