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Optimization should be banned, even though past trading patterns can be
used as a barometer of the future, optimization trading systems will not
and cannot repeat their past performance in real time.
Paul Brittain
GREHERT@xxxxxxx wrote:
>
> 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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