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David,
I have made my stand clear time and again,
against the practice of optimisation of individual securities, and in fact
neural networks too.
Optimisation, both in MS as well as neural
networks, use the past data, either for modelling or testing. Going forward, it
gives a reasonable probability that the optimisation
could work.
But what happens, if the investors' and traders'
perceptions change, towards the security? Will a modelled system work? Certainly
not. Remember Enron?
DusantChief Architect<A
href="">http://www.candlestrength.com/
<FONT face=Verdana
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----- Original Message -----
From: "David" <<A
href=""><FONT face=Verdana
size=2>junk@xxxxxxxxxxxx>
To: <<A
href=""><FONT face=Verdana
size=2>equismetastock@xxxxxxxxxxxxxxx<FONT face=Verdana
size=2>>
Sent: Sunday, May 23, 2004 9:34 PM
Subject: [EquisMetaStock Group]
Optimizing
<FONT face=Verdana
size=2>> I thought I would post something that has been rattling me
lately. > What is the consensus about optimizing systems for
individual > securities? I tended to stay away from this practice
as it seems > more ideal to find a system that performs better across
entirely > different markets and securities, because the average is
probably the > most consistent. However, backtesting seems to show
that it is > possible to show consistent results when optimizing for
individual > securities. I would assume that individual securities
do contain a > certain element that makes them perform similarily over
time. When > looking at GBP/USD it is obvious to see that this pair
trends in a > different way then does USD/JPY. So I'd like to know
some other > opinions on what people think of individually
optimizing.> > Best Regards,> David> >
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