We will now repeat our experiment with the 900 trend trading strategies, but this time with trades filtered by the Market Meanness Index. 900 systems experiment revisited I have been informed by algo trading bitcoin on forex that I committed two mistakes, or at least inaccuracies, in the previous experiment.
First, I didn’t detrend the price data. Second, I used the equity curves instead of balance curves for determining the profit factor. I supposed that this would eliminate any trend bias. The original test, repeated with the modifications, produced a wider profit factor distribution due to eliminating intermediate returns. But the outcome of the experiment was the same.