|
 |
 |
|
Problems worthy of attack prove their worth by hitting back ("grook" by Piet Hein) RANDOM MARKET RULES The recent troubles that befell currency manager performances are embedded in the rules that worked fine in the past. What remedies can we apply? Change the parameters? Change the trading algorithm? We think not. Currency markets experience behavioural cycles as much as humans do. If the ride becomes uncomfortably rough we must buckle up until we hit the smooth highway again. During bumpy months, the soft ride of yesterday is often overlooked. Volatility is mainly a function of leverage, so what we might do is reduce market risk exposure after the first signs of an impending storm. Often the storm is well underway when it is actually recognised. At that point one best weathers the downpour by waiting till it is over. Losing periods of an otherwise winning strategy always require a fair amount of patience. Savvy investors use a systematic manager's bad months to invest more. |
|
|
|
|
|