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DH wrote:
That would appear to be a case of overoptimization or a lack of
understanding about how to properly optimize a system to get a set of
tradable inputs. I doubt that the trading platform and its speed are the
fundamental problems. If an optimizing run takes more than a few
minutes, you're doing something wrong.
Bob Fulks wrote:
I guess we see things differently. To me anybody who spends 9 hours
optimizing a system is curve-fitting to an extreme degree.
So when you hero(TS8.1) is gored change the topic and kill the messenger heh?
Mathematically speaking both of you are incorrect. Any amount of
optimization on a fixed amount of prices is curve fitting no matter if
you have 10 or 10,000 input variable combinations.
Curve fitting(whether by combintorial search, Neural Nets or genetic
algorithms) a strategy to the noise and price patterns(if there) is
the "Siren Call" of todays trading platforms. Optimization results
on a fixed amount of prices will look marvelous creating the illusion
that the strategy will produce these profits in the future. But the
truth is that you can optimize random data (which I have done many
times) with the same strategy and get excellent results. To minimize
the curve fitting of the noise one must use walk forward out-of-sample
methods. Without walk forward testing on prices that were not in the
optimization sample(out-of-sample), the optimization illusion will
minimize your trading profits.
As an aside, following the logic of DH and Bob's statements, it would
appear that the quants at Goldman Sachs only use milliseconds on GS's
super computer to determine profitable trading strategies. Heh?
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