Optimizing with Many Parameters

Discussions about the testing and simulation of mechanical trading systems using historical data and other methods. Trading Blox Customers should post Trading Blox specific questions in the Customer Support forum.
Post Reply
steor01
Roundtable Knight
Roundtable Knight
Posts: 124
Joined: Sat Oct 25, 2003 1:17 pm
Location: Dallas, Texas

Optimizing with Many Parameters

Post by steor01 »

MODERATOR'S NOTE: Moved from viewtopic.php?t=664 to new topic since this wasn't really about "Synthetic Indicator's".

I am naive enough to have thought that I would simply set step values for all of the indexable fields and let 'er rip. I'd come back in a few hours or days and see the world's largest simultaneous linear equation would have completed who knows how many tests and -- voila -- there is the best of the best.

I see it doesn't quite work that way and now I realize I don't really know how to test with a system in which there are a lot of steppable variables. Do you pick one, vary it over a range, write down the best value?
Set that variable to the best value and pick another one, vary it over a range, and write it down.
Then set the second variable to the best value and so forth?

I would appreciate thoughts from the persons on this forum, who are obviously quite experienced and knowledgeable.

Thanks!
Top
omegaman
Contributor
Contributor
Posts: 3
Joined: Fri Nov 14, 2003 2:02 pm

Post by omegaman »

Maybe you'd enjoy reading the book Design, Testing, and Optimization of Trading Systems. They sell it new and used on several internet sites, and it has been reviewed here on the Roundable too.
Top
Post Reply

Return to “Testing and Simulation”