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Ara,
When I was working for an investment bank, the parameters (and
universe) were optimized each month from the previous 6 months data
backtest (rolled forward each month obviously). These parametere were
then used to trade live for the coming month. This is how all my
backtesting was done (i.e. OOS) and all my live trading.
In this sense, the paramters were indeed 'adaptive'.
--- In amibroker@xxxxxxxxxxxxxxx, "Ara Kaloustian" <ara1@xxx> wrote:
>
> WF testing seems like a logical step to take in creating a trading
system. While I am not suggesting that we don't do it, I'd like to
clear my understanding.
>
> It seems to me that we are looking to create a system with
parameters that are valid "for all time". If a test is succesful in
OOS period, then we can assume that we have found something that
remains applicable for the future - at least in this one instance.
>
> Given that the markets change all the time, the obvious conclusion
for me is that we need indicators that are adaptive... and that any
that do not adapt will simply not work in OOS.
>
> The issue of providing feedback from equity curve seems valid and it
can provide a warning about system starting to not perform as expected
... so regardless of type of indicators used, this kind of feedback is
good!.
>
> The point I am making is that there has been very little said about
adaptive indicators ...
>
> maybe that is the holy grail ... and therefore untennable ...
>
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