A1 and A2 are optimized from 9/1/1998 to 9/21/2001 and the equity curve
in A2 shows the system "blowing up" in the OOS period from 9/22/2001 to
present. No question that the optimized variables for this setup are
not robust.
A3 and A4 paint a slightly different picture but perhaps not a different
conclusion.
A3 and A4 are optimized from 3/1/2000 to 9/21/2001 and A4 shows that the
equity line continues upward although with some higher variability.
A5 and A6 are more detailed views of the oos period and are labeled.
This raises the question that has been debated about including bull and
bear markets in your optimization period vs only optimizing since the
turn in the markets.
It seems to suggest that the optimization period from 3/1/2000 to
9/21/2001 produces a more "robust" system---but I question whether this
is so. I am not sure I have confidence about when the performance of
this system would deteriorate or "die" as has been stated.
My thanks to Fred for sharing his system and I hope this comparison
stirs some continued good debate on this subject, from which we can all
learn.
Ken
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