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Adrian, that's a very interesting project. Where are you from? I think we could work together on this.

I'll be honest with you: I think you're wasting your time. The reason is that approaches such as yours are often subjective and difficult to understand by others, due to personal biases. Even if your approach has merit, most people will not like certain aspects and will want to change them...

So little interest for such an interesting topic. What a pitty... Vikana, if you don't have anything to add, can you please delete this thread? Drop me an e-mail if you want to talk further. Regards, Dan Mitroi

I have to admit I've never thought of that. It certainly sounds like a good concept, but I'm not sure how one could implement it. A first idea would be to limit the parameter space, but that simply is optimization, the exact thing we're trying to avoid. One could also limit the 'jumps' of...

What I have found is that the fitness function and the allocation procedure are not that important to the overall results. I started out by using a rolling window type optimization, which was run on a continuous basis (as in, optimize at T, T+1, T+2 etc). The problem was that this approach...

I completely agree vikana. However, I view the problem of adjusting for volatility as a risk management issue, which can be solved by smartly changing your trading size (leverage) and thus keeping your equity volatility constant. I have kind of worked around the 'avoiding aboslute values'...

Trust me on this, the systems I am trading are very simple. However, I have discovered that, while they do work, the results are often more volatile than I would like them to be. Moreover, markets seem to switch among different regimes, which reflects in the p&l of my systems. Just as an...

Hi everyone. I have been trading systems for two years now and I've recently started researching adaptive models. I'd like to know if there are people here who are trading in a similar way and are willing to exchange ideas. If yes, I'd like to share my experience and talk about the...

I'm hoping I'm not off topic here, but I think that the following kind of falls in the topic of risk management, and this is a very good audience, so here goes: I have noticed one person around here (TSGannGalt or whatever name he was using at the time) claiming that he has had spectacular...