Optimizable inputs
2 replies
AndrEAs SQ
6 years ago #191971
Good day guys
In your experience, what number of optimizable inputs would be the maximum limit to use to avoid over optimization?
Or do not you consider this an important factor?
AndrEAs
tomas262
6 years ago #192081
Hello,
the general rule here would go with the simplest. The less there is the less can break. I do not like seeing too many parameters personally. When this happens and a strategy looks promising I go through RT & walk-forward optimization and see how each parameter (or group of parameters) affects strategy performance. If the strategy is good most parameters actually won’t affect the performance in the sense these would make it useless. I always watch for those parameters that have the highest impact on strategy performance results to see where the strategy’s weakest point is
AndrEAs SQ
6 years ago #192085
I agree with you Tomas, keeping it simple is the general recommendation of most of the pro traders that I follow. But I ask you for a number because I was reading an article by Tomas Nesnidal where he says that the limit of optimizable parameters that he uses are 7. And so I was curious to know his experience about it.
I tell you that, about 2 or 3 years ago I was an expert over-optimizer, I had about 30 strategies that on average had about 35 optimizable parameters, when they passed to real account the majority died, however, the strange thing of the story is that I still have A couple of very good strategies that continue giving money a couple of years later with more than 40 parameters inside.
AndrEAs
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