did i apply curve fitting to my system

[Mike805]

Quote from bigdavediode:

The point of forums is to help others. If you have no suggestions there's no reason to post.

Let's try to follow up on measuring curve fitting and expand on your ideas of measuring curve fitting based on a limited sample. I assume you use GARCH. And if so, what variant do you recommend and why?

What's your opinion of the claims that GARCH isn't a good predictor for volatility in returns?

What I would like to know is if trader3cnd even knows what Engle's fundamental ideas behind GARCH were...

Well trader3cnd?

I'll give you a hint, they're often referred to as "Stylized facts of Volatility".

What's interesting is that Engle's original paper starts by introducing these stylized facts. Subsequently, via the course of proper albeit sophisticated modeling he *validates* his original hypothesis. What do you think was more important in creating that model? The fundamental concept, or, the resulting fit model?

Mike

 

[bwolinsky]

Quote from newguy05:

fellas i think you guys are arguing if the chicken or egg came first.

In my original post, my intention was to find out a very specific case of modifying the stop loss target logic that produced much better result on a 5 year historical data set.

I think i named this thread's subject poorly, but nonetheless i got the answers i wanted - that this is acceptable behavior in tuning an automated system. Whether the actual definition is "curve fitting" or not has no relevance to me.

ps you guys sound just like the quants in my firm, they would argue those things during lunch break all day long.

Yeah, what you were doing is optimization. You weren't basing your system on the parameters, but tweaking inputs based on an original hypothesis. This is acceptable as you realized.