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Yes, I totally agree. Avoiding misplaced sentiment and emotions is one of the reasons I'm a mechanical trader. The funny thing in this case is that my family is generally NOT interested in the financial markets; I'm a real black sheep in this way. I don't think they even remembered they had...

My great uncle bought Nortel Networks in the 1970s or possibly early 1980s and passed the stock on through the family. I remember some intense discussions in the family around 1999 as to whether to sell. I didn't want to get involved and I don't actually know what happened in the end. Enough...

Oh, I see. If you're just running the same parameter values through another set of out-of-sample data for additional confirmation, that's fine. Just to make sure we're on the same page, you have some parameters, p. You optimize them over some time period, t2, and get optimal values for p, p*...

"God is dead." -Nietzsche "Nietzsche is dead." -God I first read that one years ago. Always good for a chuckle.

This is the right general idea, however as Metamega has already said, there is an art to statistical analysis. There's no hard and fast rule that that is the precise region of interest. I don't understand the last part of this. You generated parameters (p) that worked fairly well out of...

Virtually nothing is certain in life. You can, however, take steps to improve your odds, sometimes remarkably so. There is no method to avoid curve-fitting with certainty; there are many methods to increase your likelihood of avoiding curve-fitting when used judiciously. Even when done...

One other thing: I want my optimizations to be robust in the sense that I can change the optimized parameter values I get from my in-sample data and still get fairly good results in my out-of-sample data. As an example, if you have two parameters, p1 and p2, that each range from 0 to 1 then you...

Personally, I would do both...and more. I like to have multiple confirmations that a strategy is likely to work, both statistical and logical/financial. I want to have a sound reason for doing something (ie there's some financial cause and effect that explains (at least partially) why the...

I really appreciate that comment, bashatrader. I've actually been considering combining R with something like Amibroker and was getting around to asking someone about it. I don't really use any of the standard "strategies" though. Let me think up a couple examples to illustrate what I do and...

I use R. That said, what's best for you depends on your background, skill set and objectives. I mostly use R because I learned it during my masters and so I'm already familiar with its extensive statistical capabilities. I'm sure others will have other suggestions.

Good to know. Thanks again.

I would bet a good chunk of my trading portfolio that you'll over-fit...but why not take guidance from your out-of-sample results? Have you already done the analysis?

Thanks for the link. Looks like a good deal. Any comments on data quality?