There's a problem, though. I did some true walk-forward testing with this AI. For example, optimize from January-June 2007 then test your optimized parameters in July 2007. That way, there's no cheating--it's just like you had been optimizing and trading in real-time.
The results weren't pretty. I didn't systematically test for every month, but the 8 or so periods I tested were all losers. I suggest others do the same kind of testing. If you just optimize on recent history, you'll always get great results. |