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What I am saying is that IMO you are conducting some worthwhile trading research but you are testing several components at the same time ... try separating them:
- optimising a system that uses random entries will provide you with specialist knowledge about optimisation
- optimising your trademanagement (stops etc), with random entries as the basis, will provide you with specialist knowledge of stops etc.
- otpimising your filter, with random entries, will provide you with specialist knowledge on stock selection.
I keep a few BlackSwans as pets and I am intimately acquainted with their behaviour patterns.
- --- In amibroker@xxxxxxxxxxxxxxx, "Yofa" <jtoth100@xxx> wrote:
>
> Hi All,
>
> I'm trying to improve my optimization method. So I divided my trading system into parts: entry logic, trade management logic (trailing, profit target, volatility exit, etc ), filters, etc.
>
> I created a random entry system, that uses the same trade management logic as my trading system.
> With random entries I optimized the parameters of the trade management logic. I also try to improve filters the same way.
>
> My questions:
> Is there anyone who uses similar technic for optimization?
> Is there anyone how uses similar approach to validate the trading system and its parameters?
> Is it reasonable optimization method?
>
> Any opinion or experiance appreciated.
>
> Regards,
>
> Y
>
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