Disliked{quote} It sounds like you coded a mean reversal system .. and of course trend following is not any better. The clue might be that when it works perfectly the system is not in a fat tail. And when the fat tail occurs the idea would be to get in the correct direction at least for a break even. So why eliminate these days ? after all, the real money maker is on the big move.Ignored
The big move happens too rarely.
The big move is unreliable.
You never know when the big move will occur!
In order to catch the big move, you have to have exposure at all times. Or in other words, you have to chase every small move! Because ALL big moves begin as small moves.
If you wait for the moment when the big move becomes obvious - then you are too late!
When you chase all small moves, the total loss always exceeds the total profit. The profit from the big move is never big enough to compensate for the large number of small losses.
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