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Chuck LeBeau wrote:
>Louis B. Lukac and B.Wade Brorsen wrote a graduate thesis entitled "The
>Usefulness of Historical Data in Selecting Parameters for Technical Trading
>Systems".
>...
>They concluded "The results of all the tests suggest that the forcasting
>ability of optimization is limited. Optimization was not able to forcast
>parameter sets which would produce portfolio profits better than a random
>selection strategy."
They obviously wrote this before the mid 1990s.
>This is only one study but I have never seen any study that showed that
>reoptimization actually helped. However if you give any value to anecdotal
>evidence there are many traders that seem to be fond of this questionable
>technique.
Any trading system on the S&P that uses fixed parameters instead of
adapting itself to volatility changes (Swinger2 comes to mind) would
have needed to be re-optimized periodically throughout the 1990s as
Average True Range steadily increased. I have noticed some of my
systems also perform quite differently before and after 11 Sept 2001.
The parameters needed for good performance are different before and
after those dates.
--
,|___ Alex Matulich -- alex@xxxxxxxxxxxxxx
// +__> Director of Research and Development
// \
// __) Unicorn Research Corporation -- http://unicorn.us.com
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