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In a message dated 00-12-15 12:57:00 EST, you write:
<< The "best" optimization procedures for multi-extremal (i.e.
"complicated") optimization functions imo are from the family of
"genetic algorithms", preferably in the context of "genetic
programming". Simple versions can be easily setup e.g. in Excel. >>
Determining flatness and testing how effective trading the flat part of the
optimization curve can be done through walk forward analysis.
Trading an optimization spike can be dangerous. Spikes can be caused by
a few trades that turn out extremely well because of price shocks to the
market.
Genetic algorithms are effective however they can optimize to a spike unless
some degree of flatness is programmed into the fitness function.
Regards,
Jim
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