Optimisation Pro's Con's

Grey1

Well-known member
Jun 11, 2002
2,185
175
73
#16
IMHO The best indicator to tackle the market is Intuition .. PAST IS PAST , GONE , FINITO .. NO MORE EXIST..
( since this is a TA board and other traders love their MA then I will try contribute every so often on these indicators but my feelings are very clear on past/Future correlation)

We trade the market as it happens and as it un folds ,... Look at some of my posts on VWAP .. look into L2 , as well as risk management …

Saying that if you are not still convinced then choose a strategy , back test it over 5 DAYS ( yes DAYS AND NOT YEARS ) REMEMBER YOU WANT THE SYSTEM TO PEFORM INTRA DAY AND NOT OVER THE NEXT 10 YEARS OR SO.. YOU ARE A DAY TRADER ) ago , then add a bit more data say 12 DAYS ago then add more data say 18 DAY to it and look for the performance.
TRY TO BREAK THE STRATEGY DOWN by adding out of sample data..

Few other tips:--

1) Back testing is not an easy task…. some knowledge is needed to back test a strategy correctly .. for example how to set the exit parameters as well as the entry to have a tolerable risk level .. NO GOOD TO HAVE A RANDOM ENTRY and OPTIMSE THE EXIT for strategy to perform …

2) Try to design a system to have high win/ loss ratio strategy ( the number of wins are much higher than losses but smaller amount ) than a one BIG WIN STRATEGY .. The latter strategy is very damaging psychologically..
 
Last edited:
May 27, 2002
23
0
11
Nottinghamshire
#17
Thanks for your comments.It seems that those who are posting are day traders what about End of day traders or medium term traders would any like to comment on systems or optimisation?