fwiw- I second the use of walk forward testing. I like to have at least 50 trades in the base optimized period and 25 in the walk forward period. Jumping from a data set to trading without a test in a period outside the optimized data set is a invitation to losing your capital. Seneca
I'd be curious to know as well as to why you disagree with optimization? If you are a technical trader, I dont see a difference between handpicking your parameters and timeframes versus optimizing them. Yes, curvefitting is a problem - in particular if your degrees of freedom are very large, but there are a couple of feasible remedies IMHO and I pretty much agree with Joman's list. On top of that it also depends on the type of data you are using. The coarser the granularity the more of a problem you have. Roundturns are also a good indicator - the less the more likely that you have a curvefit and big draws in your forward tests or live trading. Another issue is what assumptions you make in regards to entry and exit points which also is strongly related to the data you are using. The finer the granularity, I find, the better your assumed entries and exits match reality. I don't know how others do it, but I do not use the price curve alone to calibrate a candidate system.
Cool, thanks for telling me this! My systems have multiple parameters and produce double digit returns with real money. Perhaps you should tell the same thing to many 1B+ funds, making 10-20%/yr who use parameters? the truth is, any single strategy with or without parameters can fail. for some reason, there are folks who claim their approach to trading will not fail, while others methods are doomed.
I might be wrong but I consider that your system has few parameters. - C is a parameter you can adjust: you can also use O, H, L. - 1 period ago is a parameter you can adjust: you can use x period. - ">" is a parameter you can adjust: you can use "<" or "=". Price patterns can also have "optimizable" parameters !
Joman does not know or understand the following: 1 - the difference between a parameter and a math operation 2. The difference between a non-adjustable and an adjustable parameter 3. The difference between a qualifier and a parameter
You are completely right, there are few parameters in this decission rule and all they can be optimized. And are optimized in the so called price action based trading systems. Price action based trading is now a new hype after the magic indicators ceased to be magic. A really funny part of the story is that the guy who's posting this has no clue what he is talking about.
Joman didn't understand this, thanks for the clarification. I now understand how intradaybill avoids curve fitting.