SuperDriveGuy
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Hi All,
I am a newbie, so please bear with me. Just wanted some opinions from the veterans, whether I am progressing in the right direction!!!
I have created a simple system based on Stochactics I will try to illustrate as best as possible..
if Stoch(14) (crosses below) 80
SELL
if Stoch(14) (crosses above) 20
BUY
The parameter, I optimize are Stoch(14), 14 being the period, I run that through an optimizer and that comes with the best value for a say a week, same for the Stoch HIGH and LOW(80 and 20) respectively. So for say 01/06-05/06 I may have Stoch 14,HIGH 75 and LOW 25 as the best parameter that wll give me good return, low drawdown etc. But if I forward test that with say 08/06 - 12/06, I will get abysmal returns, but a different set of values say Stoch 20, HIGH 85 and LOW 15 will give best results.
I am not looking for shortcuts here, just the methodology, thought process for strategy optimization. I have also run the same optimization against 1 months data then back and forward tested 1 month each, but similar results i.e. what works in 1 week/month does not work in the next week/month. The principle as such looks sound(to me), but the tweaking of the parameter values, will that be considered curve fitting?
Appreciate your thoughts on this.
Regards
I am a newbie, so please bear with me. Just wanted some opinions from the veterans, whether I am progressing in the right direction!!!
I have created a simple system based on Stochactics I will try to illustrate as best as possible..
if Stoch(14) (crosses below) 80
SELL
if Stoch(14) (crosses above) 20
BUY
The parameter, I optimize are Stoch(14), 14 being the period, I run that through an optimizer and that comes with the best value for a say a week, same for the Stoch HIGH and LOW(80 and 20) respectively. So for say 01/06-05/06 I may have Stoch 14,HIGH 75 and LOW 25 as the best parameter that wll give me good return, low drawdown etc. But if I forward test that with say 08/06 - 12/06, I will get abysmal returns, but a different set of values say Stoch 20, HIGH 85 and LOW 15 will give best results.
I am not looking for shortcuts here, just the methodology, thought process for strategy optimization. I have also run the same optimization against 1 months data then back and forward tested 1 month each, but similar results i.e. what works in 1 week/month does not work in the next week/month. The principle as such looks sound(to me), but the tweaking of the parameter values, will that be considered curve fitting?
Appreciate your thoughts on this.
Regards