Hi alphadude Wow! That was a great elaboration on what you were saying. It's clear to me now, and I am in pretty much total agreement! You make a good critique of "black box" strategy optimization. I have a background in machine learning (though via ...

Systematic Portfolio Diversification - Data Mining Concept

Hi alphadude, Firstly thanks a lot for taking the time to describe these processes - it is very interesting and informative. I have done loads of such research myself over the years, and I hereby promise to document and describe some of my own ...

Systematic Portfolio Diversification - Data Mining Concept

Thanks for that explanation alphadude - so by parameterless, you mean no fixed, predetermined parameters, but rather ones set by a rolling, short term backtest? How are you fighting off overfitting, when using such a (relatively) short window? Matt

Systematic Portfolio Diversification - Data Mining Concept

I realise that in your formulation the trade is a one-off fixed rule. However imagine another researcher trying a range of bar amounts, say from 1 to 10 - and finding that 3 bars produces a good result. Now he has discovered the identical rule to ...

Systematic Portfolio Diversification - Data Mining Concept

I'm new to this thread, but not to this subject, so I'll add my twopenneth :-) In my view, considering a system (such as the one you describe here) as parameterless, is somewhat arbitrary. For example, you require the last 3 bars to be white. What ...

Systematic Portfolio Diversification - Data Mining Concept

Hi MBrown Thanks for the clarification, and the Robert Pardo reference (a good book!), and I'm sorry for repeating a previous question. I will implement your oscillator in my own testing software, and see how it goes (I'll report back when/if I have ...

MMOSC EA

Hi MBrown Thanks a lot for publishing your EA, it seems very interesting. I have a couple of questions, if that's ok. Firstly, regarding the entry conditions described at the beginning of the thread. LongEntryCondition = ((-126.150002 < MMOSC) And ...

MMOSC EA