Optimizing or curvefitting

just a few comments.

Both portfolios have a Max size of 100k. one of the position sizing rules is each pos is 2% of that figure but neither of them have yet to use even half of that 100k. They usually run about 10-25 positions at a time per each side. Using about 40-60% of the total buying power. By keeping the postions small I am trying to avoid a risk of ruin scenario. But on the flip side if I increased the %`s of the holdings my return may be greater...or worse. I may tinker with that as well.

These totals are NET of all fees and charges
 
Yes, I relate and well said.

Michael B.


Quote from hypostomus:

...I am just a happy idiot. By no means did I mean to disparage the joys of tediously speculating on market action bar-by-bar. That is exactly what I do to distract myself from impetuous action while I am in a trade. I test each delusional idea as it occurs to my febrile mind, which wants only to escape from the tension of holding a position. I have tested scores of worthless ideas in the past two years and have only five (apparently) working systems to show for it. I never cease to be amazed at how certain I am that this or that pattern works, only to find that it is a loser overall, and that memory retains only the rare wins.
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When I develop a system I am merely looking for modest results. I find that the looser the system, the longer it works.

Spending time to fit the system to the historical price set is not a good use of time IMHO (But I have changed my mind before).

Position Size Management (PSM) based on the price action, equity curve and the way the method actually trades is where it's at. If you start with a breakeven strategy that is a great start!

Michael B.
 
Quote from amigasearch:

Hypo, your approach to all of this is something i do also. My system(s) are so simple, it is something i would be embarrased to market. They are based on ideas (or counter ideas) that i observe, and i have conviction in the reasoning and methods.
As far as Optimizing or Curvefitting, the amount of parameters involved are few - usually less than 3 (hence, simplicity). But, boy to i optimize those numbers.

I also stick to one contract / one market, with success. I think it all comes down to determining the personality of the market you feel comfortable with. i have tried to take these ideas which work well on one and test them on different markets, and get results which are so - so. I can adjust numbers, but i decide to stick with the one (market) i have and like. The comparison to a parisitic market is exactly what it is, and is how it feels every day.
Sure, I would like to find one that tests THE SAME across most major markets. But what i do now is ok, and as you said, i monitor it until it stops doing what the historical returns say it should do. At that point, it is wise to "tighten up" the parameters, and make changes which yield lower returns, but keep the thing alive.
Thanks for your posts.
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Quote from amigasearch:

Hypo, your approach to all of this is something i do also. My system(s) are so simple, it is something i would be embarrased to market. They are based on ideas (or counter ideas) that i observe, and i have conviction in the reasoning and methods.
As far as Optimizing or Curvefitting, the amount of parameters involved are few - usually less than 3 (hence, simplicity). But, boy to i optimize those numbers.

I also stick to one contract / one market, with success. I think it all comes down to determining the personality of the market you feel comfortable with. i have tried to take these ideas which work well on one and test them on different markets, and get results which are so - so. I can adjust numbers, but i decide to stick with the one (market) i have and like. The comparison to a parisitic market is exactly what it is, and is how it feels every day.
Sure, I would like to find one that tests THE SAME across most major markets. But what i do now is ok, and as you said, i monitor it until it stops doing what the historical returns say it should do. At that point, it is wise to "tighten up" the parameters, and make changes which yield lower returns, but keep the thing alive.
Thanks for your posts.
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Thanks for sharing.

What market do you trade? How many trades do you do on average per day? Do you execute manually or autotrade them?
 
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