I was rifiling thru my book collection this weekend and stumbled across J.Scwagger's Market Wizards.
Personally, I don't have the stomach for faced paced trading but it has always facinated me.
One of idea that is reinforced throughout the book is the mantra of never adding to a losing position.
I then remembered the old 60 Minutes interview w/Harry Reasoner. He talked to a professional gambler (Horse racing). Spent a week with him if I recall. Anyhow, when queiried on the secret of his success, his answer was simple...bet more on the winners than the losers.
I then remember an Engineering professor who claimed to have worked his way thrru grad school playing blackjack. There were many after class discussions of the Kelly Criterion as applied to optimal wagering.
All of this thinking (besides giving me a headache) led me down a road less traveled.
Perhaps, we are all looking through the rearview mirror. Trying to optimize an algorithm rather than seeking an optimal algorithm.
Maybe we should be looking at the reciprical of AIM? Buy on the way up, sell on the way down.
Food for thought.
Leap