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Feelings and/or anecdotes require no system.
I've seen discretionary traders, trade without much more than this
and succeed. I DON'T happen to be one of these.
I made no comment about optimization necessarily being a bad thing,
only that I have yet to see ANY system based on walk forward
optimization work in some context similar to what most have suggested
in this regard, the length of the lookback period not withstanding.
--- In amibroker@xxxxxxxxxxxxxxx, "Dave Merrill" <dmerrill@xxxx>
wrote:
> not to be flip, but what's the alternative? systems with no
parameters?
> settings based on gut feelings, anecdotes or logic? whether we do it
> ourselves or our system does it mechanically by itself, isn't that
how we
> decide what systems and settings are useful?
>
> re a practical application, I have a framework I've been using to
work on
> auto-optimization, an evolution of code I posted for this a few
days ago.
> you can plug pretty much any trading logic into it, and the
framework will
> automatically choose new settings every bar, for one or two
parameters so
> far, based on what performed best over a lookback period you
choose. I'm
> planning to post it, probably to the library so it's more readable
than what
> happens to text in email, but it needs a little more documentation
on how to
> set it up. bug reports and suggestions will be most welcome.
>
> have I found that you can plug pretty much any common indicator
into it and
> have it magically turn a nice profit? no way, in fact almost
nothing I've
> tried this way is worth writing home about at all.
>
> that's why I keep banging on the theory and practice of
optimization:
>
> - why doesn't this work?
>
> - if optimizing past returns doesn't produce good performance in
the
> future, on what basis do we design and choose trading systems and
> parameters?
>
> dave
>
> From: Fred [mailto:fctonetti@x...]
>
> Walk forward testing and optimization is a great concept in theory
> and although I've seen lots of ideas for how to set it up and be
used
> over the years, unfortunately I've yet to see anyone demonstrate
that
> it actually works over a variety of market conditions. There are
I'm
> sure lots of reasons for this which I won't delve into here but
the
> question remains, has anyone actually seen this put into practice
> where the result has been a viable system to use in mechanical
> trading ? If so can you please point at something that could be
> looked at objectively that doesn't reside in a black box ?
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