Optimization what it is.
Posted: Sun Jan 21, 2007 8:25 pm
I am building a system, it is the same signal for all instrument that will be traded. But I would like to introduce parameter on a per instrument, ex: Average Length or Channel Length or size of bets on per instrument basis.
I have been able to do that fairly easily with Tblox by reading the parameters from a File for each instrument. However, by doing this am I going into curve fitting? The fact that I use a simple set of signal with 3 to 4 parameters for all system make me believe that I am not.
I'm asking this question because, in other aspect of life dont we adjust our instrument base on what we are going to do.
Here is my thinking, I own 3 motorcycles. (here they are)
they are basically all the same, 2 wheel, a motor, a frame, lights, etc.
They area my trading system with the same trading model, They can all go on the same road, asphalt, dirt, off road. And most of the time, as in the market we do not know what is ahead (how is going to be the road).
However they are optimize for specific activity, the small Suzuki if more for playing with the kids, even do this thing can run up to 50 Miles an hour. The honda, for off road and dirt road and the BWM R1200GS for around the world tour.
The bike are all going to behave really well in any environment, the "trading model" is base on sound logics. BUt they where optimize for specific condition. And if I want I can even optimize their parameter as I am going. (Higher altitude, etc.)
We can find numerous example of thing that we optimize based on our past experience.
So the question is. Is it overfitting to optimize parameters of a simple trading system, to every market or market segment.
What are your experience, where should we stop.
Are the fund use specific parameter to the market they trade, or they trade the same system with the same parameter for all market.
Denis
I have been able to do that fairly easily with Tblox by reading the parameters from a File for each instrument. However, by doing this am I going into curve fitting? The fact that I use a simple set of signal with 3 to 4 parameters for all system make me believe that I am not.
I'm asking this question because, in other aspect of life dont we adjust our instrument base on what we are going to do.
Here is my thinking, I own 3 motorcycles. (here they are)
they are basically all the same, 2 wheel, a motor, a frame, lights, etc.
They area my trading system with the same trading model, They can all go on the same road, asphalt, dirt, off road. And most of the time, as in the market we do not know what is ahead (how is going to be the road).
However they are optimize for specific activity, the small Suzuki if more for playing with the kids, even do this thing can run up to 50 Miles an hour. The honda, for off road and dirt road and the BWM R1200GS for around the world tour.
The bike are all going to behave really well in any environment, the "trading model" is base on sound logics. BUt they where optimize for specific condition. And if I want I can even optimize their parameter as I am going. (Higher altitude, etc.)
We can find numerous example of thing that we optimize based on our past experience.
So the question is. Is it overfitting to optimize parameters of a simple trading system, to every market or market segment.
What are your experience, where should we stop.
Are the fund use specific parameter to the market they trade, or they trade the same system with the same parameter for all market.
Denis