196: “How to avoid curve fitting using independent testing” – Jeff Swanson
Better System Trader
Optimize the Vix Against a 20 Day Moving Average
When you put on, let's say, ikow, a vix, right? You're going to test the closing volatility based upon the vix against a 20 day moving average. And perhaps you want vix to be falling. So well, you think it looks good, use a 20 days moving average. If that filter looks good, is also that has a lookback period, right?20 day. This is another area that i think people will ah trip themselves on, is, ok, let's optimize that. Let's take an example of this and see if we can get similar results with different filters.
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