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At 1:25 PM -0500 12/20/01, rascal2 wrote:
>I know that theoretically this should not work, but in fact it seems to work
>pretty well. His system consistently turns a better profit with smaller
>drawdowns that it would when optimized over a longer period and then run
>against the same data sets.
>
>I'd be interested in any thoughts anyone might have on this approach.
Unfortunately, you do not give enough information about what he is doing to be able to comment intelligently.
If his optimization runs show very erratic values vs. each input parameter and he happens to just be picking some combination of input values that give the best numbers on that data, he is simply curve-fitting and it will not work consistently.
But if the plot of results vs. each input parameter is a nice smooth curve with broad maxima, then he may, in fact, be adapting his system for some gradually shifting characteristic of the market. That would tend to improve the performance week-by-week until some point where the market characteristic changes quickly and then he could lose a lot of money until it settles out again.
If he is adapting manually, a better approach would be to figure out what characteristic he is "chasing" and provide code that will automatically measure that characteristic and adjust the parameters for him.
Bob Fulks
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