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Watch out for one trap I ran into.
If you are developing a portfolio of trading systems, it might seem like a good idea to optimize them all together.
But, there are two problems:
* It takes a long time, optimizing the parameters of each system at the same time, even with genetic algos to search the solution space
* More importantly is greatly increased curve fitting.
So, it is much better to have 3 systems with 1 or two optimizable parameters each, than one huge composite system with 6 optimizable parameters.
If there where one feature I would like to have in Ami, other than built in multi core support, it would be a built in measure of walk forward efficiency. That is a measure of the degree of curve fitting of a system. See Pardo's recent book for more information.
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