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Very interesting.
Would you care to name the investment Bank ?
TIA
--- In amibroker@xxxxxxxxxxxxxxx, "sidhartha70" <sidhartha70@xxx> wrote:
>
> 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@> 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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