Maybe he's talking about this.. http://epchan.blogspot.com/2008/05/parameterless-trading-models.html http://epchan.blogspot.com/2008/08/more-on-parameterless-trading-model.html I didn't read it thoroughly. But, I'm wondering if he just means allowing variables to be dynamic within the system.. instead of having to manually adjust using user input. Sounds like mumbo jumbo.. Maybe he's bored?
Yes, you are spot on, the correlation look back period would be a parameter. You've got to start somewhere! The key is to minimise the tweekable parameters.
Yes;Koj ,its not rocket science. Put it simple, 50 day simple moving average crosses 200 day simple moving average; think about selling -test that. Uptrending 50+ 200 dma may mean a buy.NOT a prediction .Test it with anything you want .IBD may have been among the first to use those measures[ 50 dma , 200dma].; they still do, after all these years........................................................................ Or if you want to waste some more time use MACD, ema, wma, other moving averages. I use some ema..... ; but i'm not confused about it. As they say in chicago-''the smarter you are the longer it takes'' Other things may help but that's a good foundation; i've tested most moving averages including the WSJ 65 dma=, too late, too lagging.LOL