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I modified my auto-optimization code so it can skip a selected number of
bars between optimizations. the idea was to contrast re-optimizing every day
(what I've been calling auto-optimizing), with the more common method of
optimizing up to some date, using those settings for a while, then
optimizing again at some later date.
using a simple rule of switching long to short when one EMA crosses another
EMA, 1/1/95 to present, trading next day at avg price, $7 commission, here's
what I found:
trading the NASDAQ Composite index:
----------------------------------------------------
bars skipped annual return sharpe ratio
----------------------------------------------------
0 (every day) 18.19% .52
21 (1 month) 16.63% .47
63 (3 months) 15.78% .45
252 (1 year) 17.23% .49
----------------------------------------------------
trading the Russell 200 index:
----------------------------------------------------
bars skipped annual return sharpe ratio
----------------------------------------------------
0 (every day) 6.82% .16
21 (1 month) 3.82% .04
63 (3 months) 5.64% .11
252 (1 year) -1.23% -.21
----------------------------------------------------
I'd interpret this as no radical difference. if anything, it favors
optimizing constantly.
CAVEATS:
this is too small a sample to be anything like conclusive. there are other
other meaningful performance measures besides annual return and sharpe
ratio. this trading rule doesn't perform well enough in any of these
circumstances to be very interesting.
dave
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