August 29, 2013

Mitten X Glove

"If you torture data sufficiently, it will confess to almost anything." --Fred Menger

"When designing a system, I believe it's important to construct a set of rules which fit more like a mitten than like a glove. On the one hand, markets move in trends, but on the other hand, past results are not necessarily indicative of future performance. If you design a set of rules which fit the curve of your test data too perfectly, you run an enormous risk that it will fizzle under different future conditions. I believe the mitten-type approach will carry you farther into the future than the glove-type. Nonetheless, markets change and technology is relentless. Therefore, traders and systems must evolve." --Barbara S. Dixon,