ARP

I trade both mean-reversion and trend-following systems. I trade in a discretionary manner within a mechanical framework. Which means I don't take every signal and I vary position size depending on discretionary factors. I also adapt the parameters of the system (only slightly) depending market conditions. I typically do better than if I had just traded the system mechanically even though the systems are very robust and work well on their own. One way is to find/build robust systems that work either across different market conditions or at least during clearly defined market conditions. You want to make sure these systems are based on market principals and not some optimized set of parameters. You want the systems to be as simple as possible to make sure they're not curve fitted, which means they will stand the test of time. (my best systems have 3 or less entry; and 3 or less exit rules). Building solid & yet simple systems that are robust takes some skill & experience. Then you can use your market experience to tweak the system & overriding signals here and there. Then you want to track your progress to see if you're doing better or worse than the system. - Ali