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Hi Carl -- The bar size is a valid optimization variable. Just be sure you run a walk forward test to validate that the in-sample results represent recognition of a pattern in the data, rather than the system just got lucky or fit to the noise.
Thanks, Howard On Tue, Sep 23, 2008 at 8:49 AM, Carl Vanhaes <carl.van@xxxxxxxxxx> wrote:
Have you ever noticed that some systems work better on specific time
frame whatever the optimization settings?
Using TimeframeSet I was wondering if someone has tried to use
different time frame as optimisation values, for example, optimize a
given system on 5,10,15....240 minutes using TimeFrameSet in the
formula, something like:
timeframe = Optimize( "Time_frame", 300,60,3600,60 );
TimeFrameSet(timeframe);
I tried this and ran an optimisation; it worked but gave totally
inaccurate results: when I tested the system on the best time frame
coming out of the optimisation it gave totally other (and of course
worst) results.
Any advice?
Carl
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