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I don't know anything about your system. After optimization
you say your strategy may be adapting. Perhaps. But it may
be just that your optimization is adapting.
As a long-time successful trader -- both using systems & on
a discretionary basis -- I strongly suggest traders gain as
much as possible from Nassim Taleb's website.
His free online book, FOOLED BY RANDOMNESS, although not
finished, is worth a read.
Regarding your question, whether you should trade your
system or not, start with the chapter:
It Is Easier to Buy and Sell Than Fry an Egg (Data Mining
and the Survivorship Bias)
List of all Book chapters:
http://home.netcom.com/~ntaleb/trader.htm
Regards,
----- Original Message -----
From: "Jon Woods" <justus5@xxxxxxxxxxxxx>
To: <omega-list@xxxxxxxxxx>
Sent: Friday, May 04, 2001 10:19 AM
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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