Forcing Optimization by Vincenzo Sciarretta
ARTICLE SYNOPSIS ...Forcing
by Vincenzo Sciarretta
Sooner or later, most system-oriented traders backtest a
mechanical system and get a positive result - and then
have it perform poorly in real-life situations. What gives?
Sooner or later, most system-oriented traders experience
this dismaying conundrum:
They formulate a mechanical
system, backtest it over a
convenient period, and get a
very positive result. They
watch the equity line and see
it rise in an almost straight
line with small but
With a methodology called forcing optimization.
As an example of contrary results, I...