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I'm not a big fan of optimization, but if one was to optimize a system
requiring the long parameters to be the same as the short parameters, it
would restrict the flexibility needed to recognize market bias and the
unique characteristics of the market being traded. For example, a few years
ago, tech stocks had a bullish bias, so applying the same long and short
parameters would have either hindered your long trade profits or given
you wildly outrageous short trade losses. On the other hand, if you're
trading kitty litter futures, which are characterized by, say, sharp
downward moves followed by gentle upward corrections to return to
the equilibrium, optimization would have to take into account the
uniqueness of that market.
Like I said, though, I'm not a big fan of optimization, so my own
requirement of a system is simply consistency.
----- Original Message -----
From: neo
To: metastock@xxxxxxxxxxxxx
Sent: Monday, June 04, 2001 6:32 AM
Subject: Optimization
It seems to be that the conventional wisdom is that the longer the
optimization, the better. I wonder. We know that market conditions change.
Perhaps it would be better to optimize repeatedly over the past 3 months or
so. I do not have the answer to this.
One thing I do believe is that the criteria for going long or short should
be mirror images.
neo
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