Commodity traders. How do you test a system?

[Barry Spreen <bspreen@xxxxxxxx>]

There are probably as many techniques for testing and optimizing
systems as there are traders.\
I would be interested in the techniques of others with a view to
improving my own technique.

In particular I would like to know what you think about using
continuous contracts for system testing. What type of continuous
contract do you use and why?

Basically my technique is to optimize a small set of variables (I
prefer no more than three) first against the continuous contract, and
then against a year or two of the most recent specific contracts. Then
I look for sets of optimization variables which seem to repeat the
most often as winners.

Using these selected optimizing variables, I can then examine the
system for possible fine tuning in other ways.

How do you do it?

What do I do that you think is foolish?

What do you do that you think is brilliant?

--

Best
Barry
mailto:bspreen@xxxxxxxx