To other trading systems developers on the Omega News List, EliteTrader, and TSWorld:
I have been evaluating John Bonin's Revmark and ATM systems (www.talkingtools.com). The systems are ES daytrading counter-trend systems, which is something I need more of in my ES day trading systems portfolio.
I have run 2 year performance reports in TS7 and posted both of them on my web site (www.tradingteacher.com). Here are the links to the reports, which I think are very interesting:
As you can see from the equity curves, these two systems are optimized for the last year (PF for the last year is in the 3 area on both systems). The vendor is one of those who believes, as he puts it, that "backtesting an ES day trading system for more than 4-5 months is futile."
Based on the handsome profit factor of his systems during the last year, I am intrigued by this claim that "re-optimization is good." I really haven't heard or read about this before. I would like to solicit advise from others who have opinions about this. For example, I know that Josh Murakami (www.tradingsystemdesign.com) subscribes to a similar philosophy.
Just when I thought I was beginning to understand that the longest, smoothest equity curve was the secret to systems trading, now I'm not so sure. I would appreciate anything others can share about this. The consistent profits of John Bonin's systems over the last year are quite attractive.
I would especially be interested in books, web sites, or products related to this subject. The most valuable feedback would be real-world experience from developers who are familiar with the pros and cons of reoptimization, and tips and tricks for doing it right. Also, is there a difference between "reoptimization" and "curve-fitting." How do we know where to draw the line? Is it just one of those judgement calls that comes from experience and wisdom?
Ron Hudson MCSD, MCDBA
Tradestation 7 EasyLanguage Specialist
Huntington Beach, CA
Re-optimization every time period has been mentioned before by Chuck LeBeau, few years back...
Same conclusion... optimization is good if it under a sound concept...
Having a sound concept is the hard part...
*I also think it was mentioned in Omega-list a few months back... It was about how frequent the re-optimization should be or something close to that...*
Anyways, good trading...