Here’s another question from Strategy Cruncher user Chris B. (name used with permission).
Chris B.
How often do you re-optimize a strategy?
Dave:
First, a confession. Like any good programmer, I’m lazy.
Hopefully in the best sense of the word.
What I mean by that is I try to do a little more work in the present to save work for myself in the future.
That’s especially true for backtesting and optimizing trading strategies.
Optimizing a strategy is hard! You have to spend a lot of mental energy making decisions about the strategy.
The entire reason the Strategy Cruncher exists is to make optimizing strategies easier.
But the better you get at it, the more you separate yourself from other traders.
How often should you re-optimize a strategy? As little as possible!
But that means you have to work harder when you optimize to make sure the strategy won’t require rework later.
With every decision you make about your strategy, you should have long-term robustness in mind. That is, when deciding between two rules to apply to your strategy, pick the one that’s most likely to have staying power.
It’s easier said than done, but over time, you’ll get better and better at creating robust strategies in the first place, so you DON’T have to re-optimize.
Thanks for the question, Chris B.! (Look for another question from Chris tomorrow.)
-Dave
P.S. Enjoy the holiday weekend!
