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Hello Sean,
I don't see anything inherently dangerous about an "optimizable"
system. The danger is relying too much on optimization to the point
where you have "curve fit" the system to the particular slice of data
you are using.
There are ways of ensuring against this and other types of errors. Use
a lot of data, use two or three subsets of that data so you optimize
on one, see if the parameters you choose work as well on the second
set, do it again on the third set. Write the system so you are always
using the worst possible fill. use realistic amount for slippage and
commission. Don't use too many parameters. Look for clusters of
values rather than picking a possibly idiosyncratic set. Most people
would say don't optimize periodically but there are those who do this
and live to tell about it. Finally, although this isn't actually
necessary, the system should have some basic in theory--why is it
working, what is it modelling about the market.
To answer your question about what TS is doing when the screen is
blank--it is going thru every possible combination of the values of
the parameters you tell it to use.
Best regards,
Jim Johnson mailto:jejohn@xxxxxxxxxxx
--
Wednesday, September 18, 2002, 5:22:28 PM, you wrote:
SC> For lack of a better word.........
SC> I was given an optimizeable system in exchange for some work. It is about 3 years old and I have heard they ususally decay by now. It is still working extremely well however, in backtesting. It
SC> also did very well when I had it open today in live daytrading of the S&P. It got in about 3 points off the low then short at about 3, making about 17 points in live trading, with a 4 point stop.
SC> I basically forgot about it. Any comments on optimized systems. Are they done......I get jumpy when my screen goes black during optimization. Im not sure what its doing....a fitting euphemism I
SC> guess.
SC> Sean
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