I hadn't heard of the Monty Hall problem before - googled it and...

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    I hadn't heard of the Monty Hall problem before - googled it and it turns out to be an interesting mathematical exercise (based on the old game show Let's make a deal).

    Not sure how that game show concept relates to the problem of achieving the ideal equity curve, I assume there's some probability theory there that is related.

    The question in my head though is whether the Monty Hall holy grail quest is nt really one of many shades of grey. To me its the question of trying to write that "perfect" or "near perfect" EA that produces the ideal equity curve, versus writing a portfolio of EA's that combined achieve the same curve.

    The reason I think its a question of shades of grey is as follows:

    By definition this holy grail EA should be a single EA. But is it really a single EA, or an EA with several sub-routines that are essentially like a portfolio of sub-routine EA's operating within a single overall EA. To my knowledge no one single setup will give an ideal equity curve, because no one single setup will work consistently in all market conditions. Therefore filters are added to select when this single setup works well and when it doesn't - this can definitely straighten the equity curve but then what happens is the frequency of trades will decrease and vary according to when the right market conditions happen. These filters essentially become the sub-routine EA's that complement the original setup logic. Your description of hedging or trap door functions sound more like correction or compensation functions than selection filters, but essentially it is still no longer a single EA in a philosophical sense (according to my understanding).

    So the question is when does a single EA become multiple EA's - is a single EA an EA completely without selection/compensation/correction filters - when does it really become more than a single EA - as soon as you add one or more filters inside the EA, or is it only when you put those filters into a new EA separate to the original one?

    Cheers, Sharks
 
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