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http://www.turtletradingsoftware.com/articles/optimization_paradox.htm
This is an excellent and easy-to-understand article on optimization
by a guy who has given some deep thought to trading and systems.
Follow the links to his forum and run searches on the topics you're
interested in. There's more high-quality information and discussion
of trading and systems on that site than anywhere else I've ever
seen, and the cool thing is that you don't need to be an uber-trader
or a software whiz to understand it all.
Personally, after years of using Metastock and discovering that
complex systems with multiple rules don't work as well as simpler
ones with a couple of rules I pretty much gave up on the more common
types of testing. If you'd like to save yourself time and trading
losses, try a process like this:
1. Pick a stock or market and observe how it behaves.
2. Come up with a theory as to why it behaves as it does, or if you
can't figure out why, at least figure out how to measure its behavior
in a way that doesn't require anything more complicated than pencil
and paper. SERIOUSLY! The more calculation you do the further you
get from the actual price action and the more errors and problems you
create.
3. Code the behavior into MS (and/or Excel) and test it with a couple
of different portfolios of 6-8 securities and see if your method
makes more money than T-bills or a straight buy-and-hold strategy.
(I use 10 years of historical data on the Nasdaq Composite and the
SP500 for my initial tests, just to see if my idea is worth pursuing.)
4. Repeat until you have something worthwhile and don't trade any
other way until you come up with something that's clearly better.
Then keep it to yourself.:)))
Luck,
Sebastian
--- In equismetastock@xxxxxxxxxxxxxxx, chichungchoi <no_reply@xxxx>
wrote:
>
>
> Does anyone know any topic related to rules management for trading
> system? such as following:
>
> 1) Closing above 50 days moving average
> 2) Closing above the highest high from the last 20 day
> 3) ...
> ...
> 100) ...
>
> If there are so many rules for trading strategy, how can I do the
mix
> and match searching for the most reliable and profitable
combination.
> Once the best combination is found, and how to assign some
threshold
> before triggering any signal?
>
> Does anyone have any idea/
> Thank you
> Eric
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