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I think you will find that a system with lots of variables and
therefore optimization will NOT work.
The fewest number of variables the better and the longer the time
period the better. Expect drawdowns; if you have no sig. drawdowns
you have curve fitted the variables to your data. Many trades are
more important.
Not likely you will find any of the normal technical indicators that
when optimized will work, at least for any time to produce profitable
results.
Check the article in Active Traders Magazine about Futures Truth.
Some interesting insight about systems testing.
Bob
(18 year MS user)
--- In equismetastock@xxxxxxxxxxxxxxx, stewardship1959
<no_reply@xxxx> wrote:
> Any thoughts on how many periods should bbe used when optimizing a
> system and how often you should reoptimize? In order to better
> ensure that your system is best suited for current market
> conditions, does it make sense to, for instance, just optimize over
> the past two years and then reoptimize the system every month or so?
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