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URL:  http://boards.fool.com/some-of-the-independant-variables-are-highly-30535311.aspx

Subject:  Re: SoWR and New Relative Value Screen Date:  2/10/2013  6:56 PM
Author:  tetranomad Number:  241534 of 263526

Some of the independant variables are highly correlated and this will cause the tuned parameters to differ fom their expected values even to the extent of sign reversal. So the tuned parameters may be misleading outside of the model, but the descriptive model as a whole, remains valid.

I suspect you already know this, but it is worth re-emphasizing - extensive tuning to fit historical data often leads to worse results going forwards than less tuned variants. I find what Bill Eckhardt has to say on the topic (albeit wrt futures trading) useful:

from http://www.futuresmag.com/2011/03/01/william-eckhardt-the-ma...

FM: Talk about the battle between optimization and curve fitting.

BE