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mark.keenan@xxxxxxxxxxxxxx wrote:
>
> If for example I optimise a set of parameters over 2000 days of trading and
> get a near a near linear equity curve - then the same parameters that work
> over the first 1000 days should work equally well over the next 1000 days
> as well.
>
> Therefore is it true to say that most important thing to look for in
> optimizing in sample data would be a linear equity curve rather than net
> profit or profit factors and then apply these optimized parameters to the
> out of sample data.
Sure, IMHO a smooth equity curve is a very important issue in a system.
You can take care of profits by increasing/decreasing leverage.
But, my experience is that it's quite easy to curve-fit system to show
an excellent, smooth equity curve, over 3-4 years, which will not hold
up in out-of-sample testing.
Btw, if it's an SP system you're talking about, I don't see how you can
achieve a "near linear equity curve" unless you make it adaptive to the
dollar-expressed volatility.
>
> In addition - do you think a system should be optimized with money
> management orders in place, or should they be added after the most optimum
> inputs are identified???
This is a problem of terminology: with "money management" do you mean
"bet-sizing" or exits (stop-loss, proft-taking etc) ? The latter are
part of the system. I consider betsizing a different thing, so I treat
it independantly.
Regards, M
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