Way of the turtle

Robust Systems
The primary ways to make systems more robust is to have rules that
allow those systems to adapt to different market conditions and to keep
the systems simple and less susceptible to changes in the market.
You can build systems that are more robust by making them
adapt to market conditions as those conditions change. This
Bulletproof Systems
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approach is analogous to those complex organisms in nature that
are able to survive in varying conditions because of their superior
adaptability. A human being is one example. People are able to sur-
vive in the deserts of the Sahara and the ice of the Arctic because
they have the brain power that allows them to adapt to those very
different environments.
Any system will perform better under certain market conditions.
Trend-following systems do better when markets are trending and
quiet; countertrend systems do better when markets are stable and
volatile. A portfolio filter is a rule that can make a system more
robust because it can filter out markets when a particular market
is not in a state that is favorable for a particular system. The
Donchian Trend system, for example, has a portfolio filter. It does
not allow trades when the market is breaking out against the trend,
as this occurs only when the market is not in a favorable state. A
breakout in the direction of the trend occurs more often in trend-
ing markets. The addition of this filter makes the system more
robust.
In a similar manner, simple rules make systems more robust
because those rules work in a greater variety of circumstances.
Complex systems generally are complex because they have been
designed to take advantage of some conditions or market behavior
that was noticed during system development. The more those rules
are added, the more the system becomes tied to a more specific set
of market conditions and behaviors. This makes it likelier that the
future will produce markets that don’t have those particular behav-
iors or in which the rules no longer work as well.
Simple rules that are built on more durable concepts will hold
up in actual trading better than will complex rules that are tailored