The Perils of Optimisation

The Perils of Optimisation

counter-trend system by any chance?

Teach you to go on holiday during August and forget to place stops...

Indeed FC, counter trend system on Dax. I did not actually trade this system, it was something somebody who had recently got to grips with TS posted to me and that I decided to watch. It worked a bit better on FTSE but still down vs. Aug peak. It seems they fell into the usual system trader trap when one gets first access to the evil temptation of the optimise button even though they swore it was not over optimised.
I posted to show how easy it is to go horribly wrong. Expect a lot of commercial systems may perform like this.

And perhaps the perils of thinking that the most recent data is the most important.
5 years minimum imho, including bull, bear, flat, wild and boring periods.
By the time you understand the latest sentiment, it's usually over.
Glenn

I think time period may depend on the granularity of data. The system above worked off 10 minute bars. Is that not equiv to about 60 times the number of daily bars?
I just think it is unstable "peak value" variables or too many variables that may be the problem. I should think this system may be workable as the idea behind the signals is actually fairly sound it is just that the 8 variables have been totally optimised for the Jan-Aug data.

8 variables?????


strewth...

I'm curious as to why/how you guessed it was a counter-trend system. Was it because the equity curve looked very flat (until it wasn't!) or was it because it abruptly tanked, or is there some other reason?