Optimization

[HuggieBear]

its not bad in NT for high frequency intraday strategies, but then i've never found one of those that works consistently.


I use amibroker for optimization of multiday strategies using decades of historical data....works well. Of course, you can blow yourself the F up if you don't know what your doing. Optimization is not, in my experience, a way to find a successful strategy, it is an effective way to tweak a successful strategy that was discovered based on some fundamental underlying set of principles.

 

[Antisyzygy]

Quote from jimbojim:

Good point and I don't think many here will understand it because I suspect very few in these threads have had formal studies in optimization theory.

To make a long story short, never, I mean never use products like that. This is not optimization but plain undermining of the intelligence and knowledge of people. They call it optimization to impress idiot traders but in the best case it is more of a crude perturbation technique with no measure of stability and convergence.

I have worked in the past for a quant firm and there they used non-linear optimization algorithms to find the optimum parameter set for strategies and they also calculated metrics to ensure that was a true optimial set.

Realize this thread is a bit old, however I do have a couple points here.

1) Brute force optimization is still optimization.

2) Optimizing in this case is NP-Complete. There are ways that may cut down on the optimization time but in the worst case you will always have the possibility of having your algorithm take as long as brute force.

3) NinjaTrader offers a genetic algorithm optimization method as well.

4) The optimization methods and metrics used for them are exposed, so you can create your own. I am working on adding a few optimization methods on the side that will be available free in their forum.