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I generally do not support optimizing trading systems all the time.
My trust in a trading system is bigger, when it can not be optimized anymore.
Regards,
Onno
At 19:18 6-8-98 -0400, you wrote:
>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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