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Rudolf,
The article would be of interst to me.
Regards,
Ed Winters
----- Original Message -----
From: rudolf stricker <rst@xxxxxxxxxxx>
To: <metastock@xxxxxxxxxxxxx>
Sent: Saturday, August 07, 1999 11:38 AM
Subject: Re: Optimal f and system optimization
> On Wed, 28 Jul 1999 08:47:12 +0200, you wrote:
>
> >How do you test the system optimization? Did you apply the results to
"future"
> >data? Do you check how the parameters of the optimizacion evolve with
time? I
> >have made something in this line (just one system -cross of the price
with a
> >mean-) and I was very surprised with the results...
> >To make this type of complex optimizations, I think the only way is to
write
> >our own program. I have made my calculations with a program writen in
fortran
> >(coupled with excel)
>
> Because imo (nearly) all successful systems & beings on earth are
> "adaptive", I also use an adaptive trading system, which is optimized
> e.g. every weekend to "extrapolate" the results for the next week. The
> model parameters show some changes vs time, where the amount of
> changes imo reflects the changes in "market behavior".
> To strengthen the adaptiveness of the system, the profit in my goal
> function GF is exponentially weighted vs time to enforce the influence
> of "new" market behavior.
>
> mfg rudolf stricker
> | Disclaimer: The views of this user are strictly his own.
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