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Let's stop condemning optimization!
I'd like to come to the defense of optimization. I use optimization in
developing trading systems that trade stocks and stock market indexes.
Optimization let's you know what parameters worked the best historically. And
if you believe history is the best evidence for the future, then optimization
gives you the future's best parameters.
What optimization doesn't give you is a valid prediction of future returns.
The crime of optimization is when hucksters claim future profits should
approach optimized profits. In reality, future profits will probably fall
some where near the middle of your range of profits that result from your
parameter array.
Best Regards,
Jerry Rehert (grehert@xxxxxxx)
Atlanta, GA
@ 11:47 pm, July 7th, 1998
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