Edurecio – A while back I spent a lot of time trying to create a self optimising strategy that checked what had worked best recently and then used those settings until the self optimisation said that something else worked better recently. It produced nice equity curves in back testing but completely failed in forward testing. In every strategy there is some sort of variable that is fixed – whether it is an actual value or just using closing price instead of median price. So something is optimised and fixed in every strategy before we even try to check what worked best recently for other variables and hope that it works for a bit longer with a new value for them. I gave up on the concept of self optimisation and it proved to me that regularly re-optimising does not work either.
Just my humble opinion.
