Just wanted to have a discussion on a phrase which has popped up a few times.
From my understanding, re-optimisation is when, after trading the system, you decide to optimise the system again based on more recent data.
When is reoptimisation required?
Is it after you suspect the market dynamics have changed?
eg. increase in volatility?
Why is it required?
Is it an attempt to increase the life-span of the system?
I'd be interested if any of the systems-based traders here reoptimise their systems and if they do then why and if they dont then why not.
Any discussion would be much appreciated.