Better System Trader 168: How to optimize strategies for robustness (properly) – John Ehlers
DSP and Cycles expert John Ehlers, joins us to discuss all things optimization, including:
- Why optimization is a statistical process and how to assess the results properly (including what to look for at “the 50% line”),
- How much data you should REALLY use for reoptimization and why many traders use way too much data (and the impact it has on trading strategies),
- The 3 best fitness functions to use in reoptimization and the dangers of a popular metric that can lead to over trading,
- What the speed of optimization results can potentially tell you about strategy robustness,
- The only 2 things that count when assessing a strategy (yup, just 2!),
- Plus, much more.
Also, if you want to discover more of John’s Cycles and DSP techniques, John is running his annual workshop for the very last time this year (he’s retiring to go fishing and build model aeroplanes). The workshop is run over 4 evenings (US time – Oct 19-23) and it’s 100% online so no travel or quarantine required. For more info, visit: http://bettersystemtrader.com/jeworkshop2020
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