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Hi Dave --
This looks promising. Is your auto-optimization code something you can
share with us?
Thanks,
Howard
> -----Original Message-----
> From: Dave Merrill [mailto:dmerrill@xxxxxxx]
> Sent: Saturday, October 18, 2003 2:49 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] performance with periodic optimization vs optimizing
> every day
>
> 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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