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In a message dated 00-12-15 10:15:09 EST, you write:
<< Does this approach make sense?, i.e., does it really avoid the dangers
of over-optimizing?
Grateful for any thoughts ... >>
Well Cab, it makes sense if you make money real time.
Another approach you might want to try a a walk forward approach where you
have a test window and a trade window. See Dennis Meyers' articles in Futures
and TASC magazines.
An important principle of optimization is to choose wisely what parameter set
you will use to trade with. Perhaps multiple sets are appropriate.
Optimization should converge on the flat part of the multidimensional
parameter space.
Presently, I'm looking at mathematical methods to automate this. Currently
it is a combination of art and science.
Good Luck on finding appropriate models,.
Jim
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