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Genetic Optimization vs real time
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Genetic Optimization vs real time

  #1 (permalink)
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Genetic Optimization vs real time

Just wondering ... suppose for the sake of argument that I've found a great strategy via genetic optimization. Since this strategy was found using backtest (historical) data, it is subject the same issues any backtested strategy is when run in real time, nes pas ? So I've got this optimized strategy, and now I've got to throw it into another environment (i.e. real time), that may or may not be anything like where it was optimized.

Does optimization really work ?

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  #2 (permalink)
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  #3 (permalink)
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kandlekid View Post
Just wondering ... suppose for the sake of argument that I've found a great strategy via genetic optimization. Since this strategy was found using backtest (historical) data, it is subject the same issues any backtested strategy is when run in real time, nes pas ? So I've got this optimized strategy, and now I've got to throw it into another environment (i.e. real time), that may or may not be anything like where it was optimized.

Does optimization really work ?

Everything is subjective. There is no short cut. There is no black or white answer. Yes optimization works. No optimization doesn't work. And everything in between.

If you have a strategy that has backtested well, the best thing you can do to learn from this is to test it in a live market (on sim) for several weeks or months. However, most people will end up making constant tweaks (curve fitting) when a trade goes badly, to avoid such a "mistake" in the future, which is worthless for the most part.

The enemy of backtesting is over curve fitting. Whereas the strength of not backtesting is to establish some basic principles or methodologies. You just need to fully understand out of sample and in sample testing, otherwise all of your testing will be for naught.

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  #4 (permalink)
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of ... or .. of not


Big Mike View Post
Everything is subjective. There is no short cut. ...

The enemy of backtesting is over curve fitting. Whereas the strength of not backtesting is to establish some basic principles or methodologies. ...Mike

" strength of not backtesting " typo? not is the error ??

Or can we agree to disagree that I think the strength of backtesting is to verify basic principles?

Jon

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  #5 (permalink)
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Trader.Jon View Post
" strength of not backtesting " typo? not is the error ??

Or can we agree to disagree that I think the strength of backtesting is to verify basic principles?

Jon

Sorry,

Weakness of backtesting = over curve fitting, lookback only
Strength of backtesting = establish basic principles, methodology

The only real, true, believable results from testing is forward testing. Your idea must be forward tested with out-of-sample data. Once a strategy has seen data (date range), it cannot be altered or modified (parameters changed, re-optimized) on the same data or it will be tainted -- out of sample data becomes in sample data.

Mike

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Need help?
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2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
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  #6 (permalink)
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Backtesting is highly dependent on the data series and indicators, if any, employed. Without knowledge of what you have in this regard, it's not helpful to offer an opinion, but Mike is spot on about curve fitting.

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  #7 (permalink)
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Exactly


Big Mike View Post
Sorry,

Weakness of backtesting = over curve fitting, lookback only
Strength of backtesting = establish basic principles, methodology

The only real, true, believable results from testing is forward testing. Your idea must be forward tested with out-of-sample data. Once a strategy has seen data (date range), it cannot be altered or modified (parameters changed, re-optimized) on the same data or it will be tainted -- out of sample data becomes in sample data.

Mike

I can only add :: SPOT ON MIKE!

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  #8 (permalink)
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Trader.Jon View Post
I can only add :: SPOT ON MIKE!

Thx, I speak from experience and occasionally make sense

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

Reply With Quote

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