http://www.tradingblox.com/tradingblox/optimization_paradox.htm 节译 Proper optimization results in a system that is more likely to perform well in the future, but is less likely to perform as well as the simulation indicates. So optimization improves the performance of the system while decreasing the predictive accuracy of the historical results. 适当的最佳化可以提昇系统在未来表现好的可能性，不过不太可能和模拟时跑得一样好。 也就是说，最佳化可以提昇系统的表现，同时也会降低系统预测的准确性。 I believe that an incomplete understanding of this paradox and its causes has led many to shy away from optimizing systems out of a fear of over-optimizing or curve-fitting a system. However, I contend that proper optimization is always desirable. 对於这个矛盾的现象，和造成它的原因没有充份的了解的情况下，很多人害怕过度最佳化 ，就乾脆不做最佳化了。不过，我的主张是，系统永远都需要一个适当的最佳化的过程。 NOTE: A complete discussion of the complete process of Proper Optimization is beyond the scope of this article. What is a Parameter? 什麽叫做参数？ A well known commercial system is touted by its developer as a better system because it has only "one parameter". While the developer may have optimized only one parameter, I believe there are, in fact, many parameters. Many constant values used in the system, like 2, or 2%, or 5, etc. are actually parameters that have not been optimized (or perhaps the optimization has been hidden from the purchasers). By my way of looking at things, this system has more like five or six actual parameters, even if the developer does not make it clear, or even believe himself, that these are parameters. 有个程式交易系统，作者招徕顾客说，他的系统比较好，因为它只有一个参数。 虽然作者很可能只有对一个参数做最佳化，不过我相信， 事实上这个系统是有很多参数的。 在这个系统里使用到的常数，例如 2，2%，或者 5，这些东西事实上都是参数。 他们可能正是没有被最佳化的参数，或者是最佳化没有被买程式的人看到而已。 在我看来，这个系统实际上有五六个参数。 要不是作者没有讲清楚，就是他自己也搞不清楚。 Consider a simple moving average crossover system: 拿平均线交叉系统为例： Using a simple 80 day moving average, buy the next open if the price closes over the moving average, sell if it closes below the moving average. The entry stop is 2 ATR below the moving average for longs, 2 ATR above for shorts. Bet size is 2% of total equity. 使用 80 天的平均线，价格站上平均线就在下一个开盘价时买进，反之则卖出。 停损的话，买进时设在平均线的 2 个 ATR 之下，卖出时设在平均线上。 bet size 设 2%。 How many parameters are there in this system? Many people would answer one parameter, the number of days in the moving average.I'd answer differently. First, there is nothing magical about the crossing over the price of the moving average. Just because we have decided that the exact price of the moving average is the threshold to buy, this does not mean that one couldn't choose other prices related to the moving average, say 1/2 ATR higher, or 1 ATR higher, etc.Second, in the stop of 2 ATR, the value 2 is a parameter. Also with the bet size of 2%, the 2 is a parameter. There is nothing magical about the 2, one could just as easily use 1%, or 1.5%. So the 2 is just one value of many that could have been used.Each of these placeholders for values are parameters. 那麽，这个系统有几个参数呢？很多人会说一个，就是那 80 天的平均线。 我的回答则不同。首先，价格跨过平均线并没有什麽神奇的地方。 我们决定跨过平均线就买，并不代表不能选择另一个跟平均线有关的买进价格， 例如在平均线的 1/2，或 1 ATR 上。再来，停损的 2 ATR 中，2 也是一个参数。 还有，bet size 的 2% 也是一个参数。2 这个数字没什麽好神奇的， 你当然也可以用 1，或者 1.5%。2 只是众多可能性之一而已。 所有我们谈到的这些，都是参数。 -- 这个世界多美丽 --

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