When are you optimizing too much?

Discussion in 'Automated Trading' started by earlyexit, Aug 6, 2010.

  1. At what point is optimizing a strategy become too much, and you are just curve fitting?

    I have an automated strategy that I wrote that performs pretty well (profitable 76% of the time, 3.24 profit factor). I've been using it for a while, but the optimal values change as time goes on.

    For instance, if I optimize over the past 3 months, I get one set of ideal settings, but if I optimize over the past month, I get slightly better results from different settings.

    Just wanted to hear what others are doing and where you draw the line.

    Thank you.
  2. Optimization is like pregnacy. There is no such a thing as too much pregnant. A woman is either that or not. :)
  3. My wife (who gave birth to twins) would probably disagree with you.

    She would probably also say that, unless you have a uterus yourself, it is not something you are even allowed to have an opinion about.
  4. I asked the opinion of my secretary here at the office you smarty:)
  5. I optimize with the previous six months' data at the end of each week and use that result for the following week. So it is kind of like a moving average. It is mostly old data, but it has enough new to start factoring in optimization creep.
  6. Fair enough!
  7. Thanks Joe. I was thinking of doing something similar. Optimize each weekend using the previous month of data. But, I wasn't sure if a month was enough, or if I should stick with something like what you are doing (6 months).

    Thanks again.
  8. besides twins there are other rare cases that question this statement:

    "Uterus didelphys -- or a double womb -- is a pretty rare condition. It affects anywhere from about one in 1,000 to one in 1 million women worldwide, and it sometimes occurs in families. In some cases of double wombs, those two wombs share a set of Fallopian tubes, ovaries, a cervix and a vagina; other times, a girl is born with two of everything -- two wombs, two sets of Fallopian tombs and ovaries, two cervixes and two vaginas. A woman can have a surgical procedure to join her two vaginas into one, but the wombs are typically left separate. The condition usually occurs when the Mullers ducts of a developing fetus never fuse into one uterus, as they're supposed to.

    In December 2006 in Britain, three babies were born from two separate wombs inside the same woman. As far as the medical community knows, only about 70 women with uterus didelphys have ever been simultaneously pregnant with one baby in each womb. The chances of it occurring are about 5 million to one. Fewer of those women have carried one or both babies close to term. The chances of a woman with two wombs being pregnant with three babies -- two in one womb, one in the other -- are about 25 million to one. And the chances of all three babies surviving are even slimmer. Twenty-three-year-old Hannah Kersey's three daughters might be the only ones, at least in recorded medical history."
  9. Interesting systems. Roughly how many trades per day do they produce?
  10. (intraday)Bill, I would suggest you avoid getting the secretary's opinion on this one ...

    (and my apologies to the OP, for distracting an interesting thread)
    #10     Aug 6, 2010