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John & Jan et al.
I been reading with interest your comments pro and con about optimizing. My
interest in optimizing took hold a few months ago following some promising
system test results. This testing produced some outstanding results but
could not be validated because one of the formulae contained the Zig Zag
formula which invalidated it because it uses 20/20 hindsight to filter out
fluctuations.
However, I've been thinking along the same lines as John, that frequently
re-optimized parameters logically should produce better results than any
specific standard parameters, including Fibs. . . . and of course they do
much better in system tests.
I'd like to see more discussion on optimization. Has anyone done any
extensive testing and validation? Is optimzation a significant factor in
anyone's successful trading system? Is there something inherently invalid
with optimizing?
Comments anyone??
Roland
At 10:26 AM 8/6/98 -0400, you wrote:
>I am not sure if "trading with the wrong parameter" is correct, as you
>stated. My belief is that each stk has its own trading characteristics.
>Technical analyst in nothing more than measuring supply and demand of price.
>
> And my premise is that the stk characteristic will remain in tack until it
>changes.
>
>Most complete trading sysyem have two major general characteristic. One is
>money management (i.e when to get in, get out and double up) and two, a
>history of win vs lost and max drawdowns. And the reason by most people do
>not make "much money" on system trading is not having the trust when the
>system turns against them.
>
>OminTrader assumes that the stk will be generating the same charisteristic
>and therefore the indicators can be trusted until the characteristics
>changes. By being able to rerun the indicators against the stk on a short
>term basis allows re-optimizations of the indicators to the new
>characteristic of the stk.
>
>This is not a guarrentee system. If it was, I would not be writing the
>E-mail, but sunning somewhere in Europe counting my winnings. But,
>combining with MetaStk to do additional analysis is not a bad way to predict
>the next short turn move
>
>regards
>johnnie
>-----Original Message-----
>From: Jan Diederik <jddehaas@xxxxxxx>
>To: metastock@xxxxxxxxxxxxx <metastock@xxxxxxxxxxxxx>
>Date: Thursday, August 06, 1998 8:44 AM
>Subject: RE: Omni Trader 3.5
>
>
>>> -----Original Message-----
>>> From: owner-metastock@xxxxxxxxxxxxx
>>> [mailto:owner-metastock@xxxxxxxxxxxxx]On Behalf Of John Scudiero
>>> Sent: Thursday, August 06, 1998 1:14 AM
>>> To: metastock@xxxxxxxxxxxxx
>>> Subject: Re: Omni Trader 3.5
>>>
>>> OT is the complete opposite of a trading system methodology. It
>>> optimizes
>>> indicators against a data range you chose, the intent is that the price
>>> trend of the immediate future is the same as the existing past, thereby
>>> giving you excellent readings based on the indicators. And so
>>> many days in the future, you re-run the indicator test to reoptimize
>>them.
>>
>>In my opinion this means that you have been trading with the wrong
>>parameters for your indicators. Afterwards you can say which parameter you
>>should have taken. Pretty frustrating if you ask me ;-)
>>
>>Regards,
>> Jan Diederik
>>
>>For the record: I never optimize; I usually take Fibonacci numbers.
>>
>
>
>
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