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On Fri, 8 Jun 2001 13:03:28 -0500, you wrote:
>Optimization is a variant of curve fitting.
This looks confusing to me...
Optimization is a process to select systematically a "best" set of
values for a given parametric model to meet some given goals. So its
not a bad thing at all, and I cannot understand this "optimization
bashing" going on here.
Moreover, _any_ TA work uses optimization, e.g. selecting an indicator
from several available _is_ optimization.
Most things criticized here in context with optimization do not deal
with optimization itself but rather with a "bad" parametric model
(e.g. robustness) or with an insufficient goal function (e.g. max
drawdown, number of loosing trades, etc).
>Curve fitting has been used for
>a very long time to analyze data. One of the caveats of curve fitting is
>that you don't use the fitted curve for conditions that are beyond the range
>of data.
Curve fitting is a fully accepted application area of general system
modeling (i.e. a combination of a parametric model, a goal function,
and an optimization procedure). And of coarse extrapolation can be a
dangerous thing, if the _parametric model_ does not cover e.g.
changes of the system behavior over time.
So, we should not blame system optimization for everything done badly
during parametric model and/or goal function setup.
mfg rudolf stricker
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