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What I said was I've yet to see one that works, either one I've
developed or one that someone else has. As far as commodities go,
these are highly specialized markets each of which have their own
cycles and other price trends, limits and habits which goes to a
different saying I made some time ago i.e. if we had a system for
example that traded emini's successfully, would we really care if it
was good at trading anything or everything else ?
--- In amibroker@xxxxxxxxxxxxxxx, "Gary A. Serkhoshian"
<serkhoshian777@xxxx> wrote:
> Fred,
>
> Just to clarify, do you not espouse any walkforward optimization
methods?
>
> Regards,
> Gary
>
>
>
> Fred <fctonetti@xxxx> wrote:
> 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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