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Fred,
I think you and Mark have misunderstood each other over the use of
the terms "segment" and "period". Like you, I first read these as
synonyms, but after re-reading Mark's post, it appears they are
completely distinct.
Reading them as synonyms gives the following:
Test 3 time segments. Select the best period (=time segment) and use
the parameter setting from that segment. As you point out such an
approach would problematic.
Reading period and segment as being distinct gives:
Test the 3 time segments. Select the best period (=parameter
setting), ie, select the look-back period in the sample code which
gives the best profit factor for all 3 of the time segments. Use
this parameter (ie, look back "period") for time segment 4. And so
on.
I think Mark has the second approach in mind. But Mark can correct
me if I am wrong.
b
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