Dear Nonlinear, did you also retest outside the scope of the training set? I finally got around on the weekend doing this, but while I got improvement over the training set, I did not get very much improvement outside the training set..
Klaus On Mar 14, 7:54 pm, nonlinear <[email protected]> wrote: > > I think, it is perfectly right to differentiate between up- and > > downward trends. > > By and large downward seems in general much faster. > > This would speak for a difference in parameters. > > I always wanted to look at what happens if you do separately optimize > > a upward-only > > and a downward-only strategy and compose it later (going flat if both > > are opposing) > > and compare this with two-sided optimization. > > I separated my log-short strategies into long-only and short-only, and > reoptimized. Got a big boost on all performance metrics. Don't know why this > idea never occurred to me in the past several years that I spent on strategy > design. -- 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.
