i would argue that a system dosnt have to be reoptimized. I try to make all my systems as robust as possible so they work in up/down/choppy markets all the same with an as even equity line as possible. Sometimes this will make it underperform and sometimes it will overperform vs the underlying market, and thats fine.
Another thing i have researched, at least on my systems is a fixed dollar/pip stop/target. Ive tried ATR, ive tried %, but i get the best results using fixed dollar/pip stops. I recently read that Kevin Davey actually uses pip/dollar stop and that his research has brough him to the same conclusion: its not really that big of a difference what you use.
And while researching this for myself, i found that very often the same pip stop/target is usable through LARGE data/time. Meaning if i do a anchored walk forward, looking at the stop and target numbers only, i will often get the same numbers or very close to the same numbers throughout the whole dataset.
And this sort of was my thought as well. Charting up with resistance and support levels they are often very closely similare pip amounts between each level, even going back years.
I dont reoptimize my codes at all, and even if it sometimes look like a bigger stop loss could have saved the day, or a smaller target, it usually dosnt help in the long run trying to change it.
Might just be me, but I was re-listening to Andrea Unger on Better system trader #45 yesterday and he also dosnt seem to usually re-optimize his systems, he would rather have a robust and stable system throughout the whole data set. That being said he did mentioned that he has done it, but not so often and not on a regular basis.
Personally i think that reoptimizing means you never really have the same system, so how would you know how it actually is performing if you keep changing how it works all the time.
