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How frequently do you optimize your strategies?


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How frequently do you optimize your strategies?

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  #1 (permalink)
 Bionan 
Palm Harbor, Florida/USA
 
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Once you have back tested a strategy for several months or more and established you have a positive expectancy strategy long term, how often do you run an optimization to test for changing market conditions? It seems that continuing to trade without regular testing could lead to losses once market conditions change.

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 LastDino 
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Its not optimal to have expectation of single strategy to work in all market conditions, or to make changes/optimize it every time there is change in market behavior.

Just my view, but its better to have 2-3 different strategies targeting different conditions, rather than keep tweaking the existing one which is working for certain conditions, you might lose what good you have if you do that.

Market conditions can also mean different things, its not just trend or sentiment change on larger tf anymore, its markets overall reaction to lot of things, and how much it does that. For example last 1 year has been very tweeter reactive for market. It has thrown lot of ppl out of their comfort zone but this doesn't mean they are making losses, they may usually develop different ways to play that change. In fact there are people who only trade news sometimes, successfully at that (Not me).

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  #4 (permalink)
 Bionan 
Palm Harbor, Florida/USA
 
Experience: Intermediate
Platform: NinjaTrader, SharkIndicat
Broker: Interactive Brokers, NinjaTrader Brokerage, TD Ameritrade
Trading: ES
 
Posts: 75 since Dec 2019
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LastDino View Post
Market conditions can also mean different things, its not just trend or sentiment change on larger tf anymore, its markets overall reaction to lot of things, and how much it does that. For example last 1 year has been very tweeter reactive for market. It has thrown lot of ppl out of their comfort zone but this doesn't mean they are making losses, they may usually develop different ways to play that change. In fact there are people who only trade news sometimes, successfully at that (Not me).

Thanks for your reply. Actually, that is sort of my point. We have been in a secular bull market for 10 years. Many traders today have never seen a bear market. I have, but I wasn't trying to trade algorithms at that time. I believe that there are many people who are trading strategies that won't hold up in a bear market, and unless they can adapt, they could go bust. So I was wondering if many people plan on continuing to test their trading plans to make sure they are still robust, not so much for the short term, but for the intermediate term.

-Rick

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