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I've completely missed this thread, then it goes too long and I haven't had time to read through it.

Over optimisation = curve fitting. If you are getting unrealistic results for a specific set of data, and then get another set of results (and worst) on an off-sample data, then you have indeed over optimised your system.

How much one should optimise their system? The less optimisation you need to do, and the more robust the results are, the better.

As a guide, you should either paper trade it first or UNDER trade for a few months to see if your system performs within your tested parameters. Then switch to full position sizing production.

It is ALWAYS BETTER to have as many uncorrelated systems in your portfolio as possible. However, be aware of all trending systems tend to correlate with each other over time. Counter-trend systems are less correlated with the trending systems.

Remember all non-adaptive, parametric only systems will eventually fail over time. Unless you have a well developed plan and a good tweaking strategy that "re-adapt" your single system to current market conditions, you are best off to have all your systems to adapt itself automatically.

<blockquote data-quote="Temjin" data-source="post: 194055" data-attributes="member: 6397">I&#039;ve completely missed this thread, then it goes too long and I haven&#039;t had time to read through it. <img src="data:image/gif;base64,R0lGODlhAQABAIAAAAAAAP///yH5BAEAAAAALAAAAAABAAEAAAIBRAA7" class="smilie smilie--sprite smilie--sprite8" alt=":D" title="Big Grin&nbsp; &nbsp; :D" loading="lazy" data-shortname=":D" /> &nbsp;&nbsp;Over optimisation = curve fitting. If you are getting unrealistic results for a specific set of data, and then get another set of results (and worst) on an off-sample data, then you have indeed over optimised your system.&nbsp;How much one should optimise their system? The less optimisation you need to do, and the more robust the results are, the better. &nbsp;&nbsp;As a guide, you should either paper trade it first or UNDER trade for a few months to see if your system performs within your tested parameters. Then switch to full position sizing production. &nbsp;&nbsp;It is ALWAYS BETTER to have as many uncorrelated systems in your portfolio as possible. However, be aware of all trending systems tend to correlate with each other over time. Counter-trend systems are less correlated with the trending systems. &nbsp;Remember all non-adaptive, parametric only systems will eventually fail over time. Unless you have a well developed plan and a good tweaking strategy that &quot;re-adapt&quot; your single system to current market conditions, you are best off to have all your systems to adapt itself automatically.</blockquote>

[QUOTE="Temjin, post: 194055, member: 6397"] I've completely missed this thread, then it goes too long and I haven't had time to read through it. :D Over optimisation = curve fitting. If you are getting unrealistic results for a specific set of data, and then get another set of results (and worst) on an off-sample data, then you have indeed over optimised your system. How much one should optimise their system? The less optimisation you need to do, and the more robust the results are, the better. As a guide, you should either paper trade it first or UNDER trade for a few months to see if your system performs within your tested parameters. Then switch to full position sizing production. It is ALWAYS BETTER to have as many uncorrelated systems in your portfolio as possible. However, be aware of all trending systems tend to correlate with each other over time. Counter-trend systems are less correlated with the trending systems. Remember all non-adaptive, parametric only systems will eventually fail over time. Unless you have a well developed plan and a good tweaking strategy that "re-adapt" your single system to current market conditions, you are best off to have all your systems to adapt itself automatically. [/QUOTE]

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