In my opinion, the problem isn't with optimization per se but
with using exotic criteria to form fit a system. Clearly, any
system can be made to appear incredibly productive if one were to
choose exotic criteria (for example, buy the market as of March of
2009) that are clearly not reproducible.
However, criteria such as price targets can work very well.
Again, in my opinion, the only problem isn't over
optimization but underoptimization. Markets change, so a set
of conditions that works well in one market may begin to
underperform in other markets. The best way that I know to take
care of that is to optimize frequently, and for relatively recent
periods, and to use profit curves to make sure that a system is
continuing to be profitable. A downsloping profit curve that
can't be corrected by reoptimization is a sure sign that the system
is no longer working.
Newsletter
Subscribe to our email list for regular free market updates
as well as a chance to get coupons!
In my opinion, the problem
Improved GDX swing system and statistics
Posted by algyros on 28th of Jul 2010 at 06:00 pm
In my opinion, the problem isn't with optimization per se but with using exotic criteria to form fit a system. Clearly, any system can be made to appear incredibly productive if one were to choose exotic criteria (for example, buy the market as of March of 2009) that are clearly not reproducible.
However, criteria such as price targets can work very well. Again, in my opinion, the only problem isn't over optimization but underoptimization. Markets change, so a set of conditions that works well in one market may begin to underperform in other markets. The best way that I know to take care of that is to optimize frequently, and for relatively recent periods, and to use profit curves to make sure that a system is continuing to be profitable. A downsloping profit curve that can't be corrected by reoptimization is a sure sign that the system is no longer working.