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Just as a rule of thumb, years ago Rick Saidenberg recommended not
optimizing any more often than once a year or 100 trades, whichever
comes first. It has worked pretty well for me. If a system needs to be
optimized/changed more often than that, I'd say it isn't ready for prime
time yet. Either the basic concept is flawed or, if the concept is
sound, the parameters need to be made adaptive to changing market
conditions, e.g. volatility.
--
Dennis
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