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I agree. Normally I like to develop the systems themselves independently and the only variables that would be optimized when combining them are the position scoring and weighting of the different systems against one another.
--- In amibroker@xxxxxxxxxxxxxxx, "dloyer123" <dloyer123@xxx> wrote:
>
> 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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