An intelligent member’s view on trading strategy optiziming while building financial models and algorithms

(Last Updated On: March 29, 2013)
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Yes, you probably are. I am not saying optimizing should not be done, but I must admit that I have not been able to succeed at it consistently. It must be done properly, and I still do not know, after years of trying, to be able to tell you I know how to do it properly. I can say that I know quite a lot about it, but I doubt that you would have the patience to let me try to explain to you, by trial and error, how I might be right and how I might be mistaken. One hint of where I am coming from. Most optimists (sic) think a robust parameter set optimization should be insensitive to variance near the optimal points of return.

I hold that the problem of finding the optimum point in parameter space is more akin to finding a watering hole in an African game reserve before the competing animals make the place a mud hole or poachers arrive with their guns and make the place even more dangerous. The longer you wait around to be sure that the watering hole you found is valid, and real (not a mirage) and safe to drink from, the more likely you will be very sorry.

This is easily most intelligent view on it!!

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About caustic

Hi i there My name is Bryan Downing. I am part of a company called QuantLabs.Net This is specifically a company with a high profile blog about technology, trading, financial, investment, quant, etc. It posts things on how to do job interviews with large companies like Morgan Stanley, Bloomberg, Citibank, and IBM. It also posts different unique tips and tricks on Java, C++, or C programming. It posts about different techniques in learning about Matlab and building models or strategies. There is a lot here if you are into venturing into the financial world like quant or technical analysis. It also discusses the future generation of trading and programming Specialties: C++, Java, C#, Matlab, quant, models, strategies, technical analysis, linux, windows P.S. I have been known to be the worst typist. Do not be offended by it as I like to bang stuff out and put priorty of what I do over typing. Maybe one day I can get a full time copy editor to help out. Do note I prefer videos as they are much easier to produce so check out my many video at