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Let me rephrase your premise and your question.
Question 1. Jon has a trading system he has worked on for months. First Jon
curve fitted his system to fit the SnP from 1970 thru June of 2000. In Jon's own
words," I traded it from June 2000 to Feb. 2001. I GOT KILLED. The system didn't
work." For Jon to succeed, he must :
a) Use Winbatch to optimize each year individually and take the parameters for
each year and use them for the NEXT year.
b) Hope that his conclusion that his strategy seems to be adapting... FAST
ENOUGH.
c) Hear MORE comments as to whether he should trade it now or DO SOME MORE
TESTING.
d) TRADE IT NOW!!!!
e) Carefully re-define the logic behind his trade expectations, shadow trade his
system to determine whether it actually works in real time according to his
expectations, build rigorous risk and trade management capability into his
system and/or approach and define what criteria will alert him that the system
does not work soonest in the event that the system fails.
What is your answer? Only you will know what is right for you.
Jon Woods wrote:
> 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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