Optimization - Independently testing parameters
Posted: Tue Feb 23, 2016 4:37 am
In my current test I have 5 different parameters. I have been wondering whether it is wiser to test each parameter independently and compare it to a base system or whether to carry out a Brute Force backtest with all parameters stepped. Of course the brute force test would take a long time to complete.
I read a book that said that you should start with a baseline system and then test each change (e.g. adding a hard stop or adding a trailing stop) independently. Then when all the different aspects have been independently tested compared to the base system. The best "bloxs" so to speak for the system should be combined.
However my concern is that different aspects of the system might not necessarily be completely independent and that changing one parameter setting in one place will cause a change in the ideal setting for another parameter somewhere else?
How do you optimize your systems?
I read a book that said that you should start with a baseline system and then test each change (e.g. adding a hard stop or adding a trailing stop) independently. Then when all the different aspects have been independently tested compared to the base system. The best "bloxs" so to speak for the system should be combined.
However my concern is that different aspects of the system might not necessarily be completely independent and that changing one parameter setting in one place will cause a change in the ideal setting for another parameter somewhere else?
How do you optimize your systems?