You are using an out of date browser. It may not display this or other websites correctly.
You should upgrade or use an alternative browser.
You should upgrade or use an alternative browser.
Waxing philosophical after a few adult beverages...
- Thread starter garyw
- Start date
By "dark side", I'm primarily referring to the "curve fitting" conundrum. Where we are aware that we are subject to curve fitting, yet participate anyway, thinking we have a clever angle where our changes are expected to benefit out of sample equally.
Determining, then modifications based on the "why" to implement the "what" instead of merely altering the "what" to improve the PnL is not always intuitive.
Determining, then modifications based on the "why" to implement the "what" instead of merely altering the "what" to improve the PnL is not always intuitive.
I'm guessing the multidimensionality of options gives more opportunities to curve fit compared to equities, futures, etc. Besides the price movement of the latter there are all the permutations of volatility that the former add to the mix. It seems you could easily end up making changes that improve the performance for some regimes and make it worse for others.
fear the dark side "draw" of using backtesting
No, I don't fear it. Not more than 'fearing' to get wet while swimming in the lake. If I don't want to get wet I don't enter the lake.