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1) Exactly how did you employe Winbatch to assist you hear ? this is
interesting....
2) I vote "don't trade" until you discover the optimal "out-of-sample" test
interval.....
which you say is one year. Why not try 9,6, and then 3 months ?
3) most importantly: have you determined WHY it failed ?
Note: if the system were truly adaptive, then the shorter optimization
periods should have been determined automatically.
> -----Original Message-----
> From: Jon Woods [mailto:justus5@xxxxxxxxxxxxx]
> Sent: Friday, May 04, 2001 10:20 AM
> To: omega-list@xxxxxxxxxx
> Subject: Re: Trading Systems
>
>
> I optimized my TS2000i adaptive "H L C only" SP500 strategy from 1970 thru
> June of 2000.
> I traded it from June 2000 to Feb 2001.
> I got killed. The system didn't work.
> So then I used Winbatch to optimize each year individually.
> Then I took the parameters for each year and used them for the
> NEXT year and
> used those results to evaluate the performance.
> Results = No losing years and all years beat the SP500.
> My conclusion is that my strategy seems to be adapting.
> But I would like to hear comments as to whether I should trade it
> now or do
> some more testing.
> I vote to trade it now.
>
>
>
>
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