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Rudolph:
That sounds really interesting. I'd like to hear what you find.
Be careful not to over-optimize, though. Your primary goal should not be to
maximize profits themselves, but rather to maximize *consistency* of
profitability from your system. From here, your money management system and
time will maximize overall profit.
Regards.
----- Original Message -----
From: rudolf stricker <rst@xxxxxxxxxxx>
To: <metastock@xxxxxxxxxxxxx>
Sent: July 17, 1999 09:05
Subject: Optimal f and system optimization
> Optimizing 4 simple ROC-based systems for long/short positions in
> calls/puts for the DAX, I found that money management by Optimal f,
> like proposed in Futures Magazine 1992 (as posted here by Ed Winters;
> thanks again) does not lead automatically to the best results in terms
> of profit. This is, because imo system optimization and Optimal f
> calculation can not be seen as independent procedures, that can be
> done consecutively.
>
> Therefore, imo system optimization should not be done at f=1 (like
> implemented hard-wired in MetaStock) or at f=0 (like suggested by the
> Optimal f procedure posted here). The best choice should be to include
> f into the list of system parameters for optimization, and I'm ready
> to enter this line.
>
> Does anybody around here have similar experiences? Or did I get
> something wrong? - Any suggestions?
>
> mfg rudolf stricker
> | Disclaimer: The views of this user are strictly his own.
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