Lesson Context Market Feed
SPY $776.34 -0.20%
QQQ $731.07 -0.14%
AAPL $305.93 +0.22%
MSFT $495.40 -0.30%
NVDA $225.16 -0.06%
XLK $190.01 -0.40%
Module 02 · Workflow

How to optimize without turning the strategy into a moving target

Optimization should refine a stable thesis, not hide a broken one.

Step 01
Start with the result path

Review equity behavior, drawdown timing, and trade clusters before touching parameters. Understand the story first.

Step 02
Trace the behavior back to the rule set

Ask which market conditions the strategy handled well, which it mishandled, and whether that matches the original design intent.

Step 03
Change one thing with a reason

Only adjust logic or constraints when you can explain exactly what problem the change is supposed to solve.

Step 04
Retest before you trust the revision

Every meaningful change resets the burden of proof. A refined rule set still has to earn its place through validation again.

In this lesson
  • Start with the result path
  • Trace the behavior back to the rule set
Try it — overfitting

Tune a strategy hard enough and it fits the past perfectly — then falls apart on new data. Push the tuning up and watch the out-of-sample curve diverge from the in-sample one.

In-sample
—
Out-of-sample
—
Overfit gap
—
Optimization warning

Do not optimize to erase normal drawdown.

← Previous lessonBasics