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>From: rudolf stricker <lists@xxxxxxxxxxx>
>Reply-To: lists@xxxxxxxxxxx
>To: omega-list@xxxxxxxxxx
>Subject: Re: Optimizing
>Date: Fri, 15 Dec 2000 18:58:41 +0100
>
>On Fri, 15 Dec 2000 11:44:46 EST, you wrote:
>
> >Optimization should converge on the flat part of the multidimensional
>parameter space.
>
>There is much talking about this _flat_ part (whatever that may be), but
>this sounds rather strange to me:
>
>If there is a rather flat optimal area in an optimization function, then
>the optimal area is rather large. If there is a large optimal area (i.e.
>large market imperfection), then it would be identified easily by many
>market actors, and it would no longer exist.<
Not if you are the only one optimizing that system.
>Therefore, having _flat_ optimal areas in trading systems imo is something
>like wishful thinking (beside of the general difficulty to define "flat" in
>this context).<
I'm assuming "flat" here means the method works similarly well across a wide
range of parameter inputs. Are you saying that's a bad thing? To me it would
seem to indicate a more robust system.
Bill Wynne
Bill@xxxxxxxxxxxxxxx
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