Optimization of a trading system with avoidance of curve fitting.

[intradaybill]

Quote from a5519:

You are completely right, there are few parameters in this decission rule and all they can be optimized. And are optimized in the so called price action based trading systems. Price action based trading is now a new hype after the magic indicators ceased to be magic.

A really funny part of the story is that the guy who's posting this has no clue what he is talking about.

You should go back to high school, although I think you are still attending it.

Tell me you smart a*s, what optimization is involved when I have a trading rule that says

Buy if the close of today is higher than the high of yesterday?

Do you have any freaken idea what optimization is all about? Any idea of what curve fitting stands for?

In this rule, the only issue is selection bias you smart a*s.

Now I will plonk you.

PLONK.

 

[intradaybill]

Quote from Occam:

1 is a parameter.

Fail.

Get an introductory book in elementary math and learn the difference between an index and a parameter.

or ask your high school teacher.

 

[tim888]

ID Bill, I think I will partly disagree with you on this one but only partly. Even Harris, whom I know you worship as a price action guru, agrees that price action is a TYPE-3 curve fit, as he labels it.

He also makes some interesting comments worth discussing here:

"Actually, nobody has ever proven mathematically that the failures of optimized systems, which are well documented, are primarily due to the optimization, or what is commonly referred to as “curve-fitting”.

"It is the nature of the system and not the optimization that causes the failure. "

Here is the full article.

Of course, you are entitled to your opinion.

 

[Eight]

Optimization is a way of asking a computer to design a system for you. The computer lives in an intellectual vacuum, it is very limited in what it can do and it loves to hand you curve fitted thingies that just work so great on historical data!! You can predict the past with flair!! In fact, you can make it look easy!!

 

[jedwards]

The way I test the optimization is by looking at the distribution of returns per trade and the win rate.

What I look for is an even distribution of returns whose values don't fluctuate wildly. What I find curve fitting does is it will give you a wide variance between some really huge gains but your win rate decreases. Balancing between those and not looking at the overall profit is they way I do it.

 

[DT-waw]

Aside from 1 bar ago being a parameter, the bar intervals also act as parameters.

the only explanation why somebody keeps telling everywhere "my systems are not optimized" is that he is engaged in selling signals/systems and wants to impress newbies who are generally scared of optimization or don't know how to build systems.

the real danger are never the parameter values themselves, but the whole construction of the system (its logic and rules).

for example: if your system enters
longs: C > open with market orders
shorts: C < open with market oders
on 1 minute bars during night hours
and trade counter trend without the stoploss during day hours...

its just a terrible idea for a system.
only brokers would recommend it for their clients ;-)

 

[a5519]

Quote from intradaybill:

You should go back to high school, although I think you are still attending it.

Tell me you smart a*s, what optimization is involved when I have a trading rule that says

Buy if the close of today is higher than the high of yesterday?

Do you have any freaken idea what optimization is all about? Any idea of what curve fitting stands for?

In this rule, the only issue is selection bias you smart a*s.

Now I will plonk you.

PLONK.

you are not only dumb, it seems you are mentally sick. I can not help here.

 

[a5519]

Quote from intradaybill:
In other words, you are a sick scu**ug you poor thing.

This only proves that you have been born in a rain forest and raised by monkeys.

 

[intradaybill]

Quote from a5519:

This only proves that you have been born in a rain forest and raised by monkeys.

This is why people with many viruses in their body like you are of threat to me.

Do you have any valid intelligent points to make as to why the simple rule:

Buy if the close of today if higher than the high of yesterday

is a curve fitted rule?

If you don't, it means you are a moron. You only like to attack people because you are under the state of psychosis.

 

[DT-waw]

of course its fitted.
just by choosing specific time interval to determine Close price and High price.

the interval will also have impact on frequency of trades of such system.

i'm actually glad you can't grasp it. the more traders could not get the basics of systematic trading- the better for me.