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• Trading commodity spreads mechanically by Louis P. Lukac & B. Wade Brorsen

  ARTICLE SYNOPSIS ...Trading commodity spreads mechanically by Louis P. Lukac & B. Wade Brorsen Using a mechanical rule to trade a futures market is not new--countless mechanical methods exist with the general purpose of creating a profit while eliminating the human factor from trading. One place where mechanical trading rules have received increased attention lately is in spread trading. Spread trading involves taking a long position in one market and a corresponding short position in the same or related market, so the offsetting positions reduce the risk. If a mechanical rule could be developed for spread tradi...

AUTHOR: Louis P. Lukac and B. Wade BrorsenDATE: AUG 1989

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• The value of optimization by Louis P. Lukac and B. Wade Brorsen

  ARTICLE SYNOPSIS ...The value of optimization by Louis P. Lukac and B. Wade Brorsen Optimization based on historical data is used widely in the futures industry to determine the most profitable parameter sets for a trading system. The underlying premise is that if some parameter set worked well in the past, it should work well in the future. Simply picking the best parameter set from historical data and stating the accompanying profit level (called in-sample profits) is of no real value because you cannot see into the future to know what the best parameter set will be. Actual or blind simulation (out-of-sample)...

AUTHOR: Louis P. Lukac and B. Wade BrorsenDATE: JUL 1988