Hi, I am probably telling nothing new in this post. I just want to explicitly formulate central question in backtesting: Which properties should strategy have, or, in other words, What determines strategy's success (on OOS/future). Performance alone ...

Hi, I'm finishing my master's thesis and I'd like to present some points and problems. First of all, I'd like to thank everyone who participate in this thread (especially mikkom). You influenced me greatly. - I downloaded Ducascopy tick data ...

What elements (terminals and functions) is the formula composed of? Thanks

Mikkom (and other GA users), is Pareto optimality and fitness sharing incorporated in your fitness algorithms? Why yes/no? Thanks

. Excuse the recurring discussion, but... If full data means in-sample + out-sample, I don't see a contradiction between the diagram and your describtion of a method. edit: maybe the diagram is confusing... - define fitness algo using in-sample data ...

I am confused now. I thought you use all data after visual out-of-sample validation. I understand, I am giving too much question.

mikkom, could you confirm whether attached diagram roughly represent your method? Do I understand correctly, that you are actually "fitting" fitness algorithm? When fitness algorithm produces system which results are similar on in-sample and out-of ...

HHF: Simply how often new high of the equity curve appears?

Mikkom, After reading whole thread twice, i think i am quite familiar with (in general) what you are doing. It's time to ask more specific questions How I see it: 1. Generate huge pool of strategies, based on events, from limited space. Discard ...

Mikkom, could you clarify what do you mean by "event"? As I understand, its some important (from whatever point of view) situation in the market, e.g. when price crosses daily max. Event cache is then a data structure, which retains when particular ...