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I recently set up a simply two indicator system that also used a
moving average and an optimized trailing stop loss tool. The
optimizations created 53,000 tests for each run. It took many hours
on my machine.
I realized that when looking at, say, the top 100 results of a
53,000 run optimization....I was most likely looking at useless data.
All 100 could be nothing but high-end, over optimized results that
have no chance of repeating in the future. So I cut and prodded and
pried and cut it back to 18,000. And I switched the view to 500
results rather than 100 results.
My question revolves around this:
----How many optimization runs do you like to see for each system?
Certainly not the 53,000 mine had!
-----What percentage or number of your optimizations do you keep so
you can examine them?
-----What do you look for in your results to assure you that you are
not selecting over optimized profit peak results that will not repeat
in the future as opposed to say, profit hills or mounds that might be
found again going forward?
What this system tester needs is a 3-d view of all optimizations
plotted by optimization value and profit. A way to see which
combinations formed large groups of profit that "connect" in a ball or
a mound....and which optimizations are purely profit spikes created by
oddball connections that are unlikely to work in the future. Isolated
and most likely not repeatable.
I look for groupings and connections but sometimes I think this
application makes it difficult to really make those connections.
I'm truly interested in what those of you who optimize with
Metastock do to combat over optimization.
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