A few months ago I added some infrastructure to my local copy of JBT in order to allow me to back test these type of scenarios. For example, I ran some experiments to see if I could find an 'optimal' optimizing period to use for trading. More specifically, I ran backtests that would try the optimized parameters for the previous 3 months, 1 month, 1 week, 1/2 day on the following day , week , 3 days etc. Data from all of 2007,2008, and 2009 was used. Unfortunately, there was no silver bullet anywhere that I could extrapolate from these tests. I'm beginning to think that selection of parameters in itself is more art than science.
nonlinear5 wrote: >> I'm curious to see if anyone uses or knows of any time adaptive >> strategies being used. It seems to me that it could be beneficial to >> re-optimize one or several parameters on a monthly basis, etc. The >> market has changed very much in the past 6 months, and I assume that >> day to day and intraday trading has changed a lot over the past 10 >> years. >> > > > This has been discussed at some depth here: > http://groups.google.com/group/jbooktrader/browse_thread/thread/983632ec6bc4c839/b3d22e4538dd4f3d > > > > > --~--~---------~--~----~------------~-------~--~----~ You received this message because you are subscribed to the Google Groups "JBookTrader" group. To post to this group, send email to [email protected] To unsubscribe from this group, send email to [email protected] For more options, visit this group at http://groups.google.com/group/jbooktrader?hl=en -~----------~----~----~----~------~----~------~--~---
