What to use for indicator values?

nathanfromal

Newbie
2 0
Some comments:

1 - Optimization is not "forever" and re-optimization is necessary from time to time.

2 - There is a right and wrong way to optimize. Simply optimizing can lead to great looking results that then fail in practice. To overcome this the optimization process should include optimization on "in sample" data and then testing with "out of sample" data.

3 - Software for proper optimization need not be very expensive and AmiBroker is a good example.

Thx for the amibroker mention. Can you elaborate on the out of sample data?
 

colion

Junior member
21 0
Thx for the amibroker mention. Can you elaborate on the out of sample data?

Suffice it to say that plain vanilla optimization runs the risk of curve fitting. With in-sample data used for optimization and then tested on out-of-sample data this is less likely to occur if the out-of-sample data produces comparable results. An extension and refinement of that process is walk-forward testing. You can Google to find many papers and books on the mechanics and statistics of out-of-sample and walk-forward testing. If one sticks with plain vanilla optimization then the thrill begins with the first trade which will be out-of-sample.
 
 
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