Portfolio System Optimization

[dima777]

Quote from TSGannGalt:

What do you mean theoretical justification? You're doing it on your Excel sheet right? Are you using something without any clear justification?

You mention, about finding robust combinations. Tell us what conditions to look for to identify a robust combination?

Ideally you would use a set of system parameters whose past mathematical expectation varies the least across a lot of different trading instruments while at the same time generating the highest returns......just a sketchy idea of how robustness can be evaluated