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<SPAN
class=600592904-30102003>I'm really tempted to conclude that myself, since very
little I've found so far performs very well like this,
but...
<SPAN
class=600592904-30102003>
<SPAN
class=600592904-30102003>- what's so different about "re-optimizing" than
optimizing once? why are the settings you get optimizing up to today more useful
than what the guy gets who does the same thing a year later?
<SPAN
class=600592904-30102003>
<SPAN
class=600592904-30102003>- if we don't optimize at all, where do "standard"
parameter settings come from? books? newsgroups? seminars? urban legends? where
do these ideas originate, if not from someone optimizing or testing something at
some point?
<SPAN
class=600592904-30102003>
<SPAN
class=600592904-30102003>- when you're backtesting different methods, whether
they're trading rules or settings, success depends on being able to tell
something about future performance from past performance. if you can't do
that, reoptimizing won't work, but no kind of backtest will be useful either.
how do we design and test trading systems at all if that's the
case?
<SPAN
class=600592904-30102003>
<SPAN
class=600592904-30102003>- if you can tell something about the future from the
past, why not continue learning about market behavior after trading starts,
which is what reoptimizing does? why would it improve a system to ignore
possible changes in market behavior after that? wouldn't you at least want to
see if you're still making money, and possibly adjust, or stop trading until you
got a better idea? how is this fundamentally different from
reoptimizing?
<SPAN
class=600592904-30102003>
<SPAN
class=600592904-30102003>-<FONT face="Courier New" color=#0000ff
size=2> maybe the problem is that changing
settings too often hurts performance. the framework lets you optimize only as
often as you like, and if that really is the problem, performance should
improve with more time in between. in my experience, nothing that simple
happens.
<SPAN
class=600592904-30102003> even if optimizing every year, say, worked
better, isn't it pretty random where during the year that falls? if settings end
up the same whenever it falls, then they aren't changing often enough for
reoptimizing more frequently to have hurt you. if they come out differently
optimizing every june than every january, how do you justify choosing when to do
it, or know that you won't end up wrong-headed for 11.999 months out of every
year and lose your shirt?
<SPAN
class=600592904-30102003>
<SPAN
class=600592904-30102003>
<SPAN
class=600592904-30102003>I'm not trying to be argumentative, honest. I just
don't see any fundamental reason why reoptimizing shouldn't work that doesn't
invalidate the whole idea of backtesting. I've thought about all this a great
deal, and I really do wish somebody would help me think my way out of this box
I've thunk myself into.
<SPAN
class=600592904-30102003>
<SPAN
class=600592904-30102003>so far, my only possible specific theories are either
that everything that appears to work really doesn't in the long run if you test
it right, or the metrics we use to evaluate past performance don't predict the
future very well.
<SPAN
class=600592904-30102003>
<SPAN
class=600592904-30102003><FONT face="Courier New" color=#0000ff
size=2>there's also the possibility that no
matter what this "logic" says, it's just plain wrong, for some reason I don't
get. yet.
<SPAN
class=600592904-30102003>
<SPAN
class=600592904-30102003>dave
<SPAN
class=600592904-30102003>
<BLOCKQUOTE
>I
have read nearly one meter of books and I remember one " the ultimate
trading guide". it backtests p 216 a simple donchian system that is
reoptimized on a rolling 2 years basis, the results were worst than static
parameters and the conclusion was that reoptimization does not
work...stephane
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