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I know it's a tricky and grey area, but I would like to share how do I optimize an strategy, and also would like to know how do you optimize/ backtest yours.
I think we must look for a GOOD combinationm of parameters, but NOt the best, as it will be obviously curve fitted.
Parameters should be stable over diferent epriods of time (on backtesting side) and should give similar results on sim / forward testing.
Ninja Trader allows to optimize of ONE of these oncepts but not a combination of them, so i wrote a pice of code (attached) combining the 3 concepts, to be copied into your bin/custom/Type folder of NT.
1) Run optimization
2) Results exported to Excel ans get the top X (usually 1.000) and I get the average parameters.
3) Run the stratgey with those parameters in ANTHER set of data (diferent dates, to confirm it's stable)
4) Go to step 1) until I'm happy with the results.
Well, how do you optimize your strategies? From the zillions of parameters' combinations, which one do you choose?
To moderators: I could not find any similar thread, so I started a new one. If there's already one, please move this one there ;-)
I'm still trying to find the ideal fitness function. Net Profit / Drawdown as suggested here previously doesn't do it for me, as that ignores consistency and unrealized risk. The attached is the best I've come up with so far. For me the goal …
Pakicard,
Have a look at what was attached to the other thread and comment further. I am sure it will be appreciated.
TJ
Writing to you from the wonderful province of Ontario, Canada. Home to the world's biggest natural negative ion generator, the Niagara Falls, and to those that dare to know how to go over it in a barrel. SALUTE!
