Parameter Optimization by Roger Altman, Ph.D.
ARTICLE SYNOPSIS ...Parameter Optimization by Roger Altman, Ph.D.
Optimizing the parameters of mechanical trading systems to improve performance is a common technique, but does such a procedure improve system profitability? Is there evidence that optimization will lead us to parameters that yield at least better than average performance?
Any system has three components:
The unit of price or time change--also known as gang size --within which price movements will be compared. In bar charts, for example, time is stipulated so that price is free to vary to any value. Daily, weekly and monthly bar charts are the mos...