Performing Optimization: Difference between revisions
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For example, if the user selects Net Profit, the optimization will find the parameters that generate the highest Net Profit. | For example, if the user selects Net Profit, the optimization will find the parameters that generate the highest Net Profit. | ||
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== Custom Criteria == | |||
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[[Category:Optimization]] | [[Category:Optimization]] |
Revision as of 14:36, 2 February 2012
Once a strategy has been [[LINK0280_Backtesting/22-8002_Signals.html name="1"; |applied]] to a chart, strategy optimization can be performed.
Running Exhaustive Search
Optimization is performed from the Format Objects window:
To perform Exhaustive Search optimization:
- Open the Format Objects window.To open the Format Objects window, right-click on an empty area of the chart and then click Format Signals.
The Format Objects window can also be opened by one of the following methods:
- Select Format in the main menu and click Signal.
- Double-click any one of the signal's labels on the chart.
- Position the mouse pointer over any one of the signal's labels on the chart; once the Pointer changes into a Hand , right-click the label and then click Format Signals. - Select the Signals tab.
- Click the Optimize button.
- In the Select Optimization Method dialog box that appears, select Exhaustive Search.
- In the Exhaustive Search Properties window that opens, select the Optimizable Inputs tab.
- In the Start Value column, enter the desired starting values for each of the inputs.
- In the End Value column, enter the desired ending values for each of the inputs.
- In the Step column, enter the desired step size, for each of the inputs.
- Select the Optimization Criteria tab.
- Select the Use Limitation checkbox to limit the output to a defined number of the best results; unselect the checkbox to list all the results in the optimization report.
- Enter the desired number of best results in the Show N best results box.
- Select the best results criteria in the best results for list box.
- Select criteria:
- 1. Select Standard Criteria.
- 2. Select the criteria from the drop-down list. Read more about Standard Criteria.
or: - 1. Select Custom Criteria.
- 2. Click Edit... button.
- 3. Write the script for the custom criteria. Read more about Custom Criteria.
- 4. Click OK.
- Select Ascending or Descending option to sort the output in ascending or descending order, respectively.
- Click OK to run the optimization and generate the Optimization Report.
Running Genetic Algorithm Search
Note: For detailed information on Genetic Algorithm properties, see Understanding Genetic Algorithm Optimization
Optimization is performed from the Format Objects window:
To perform Genetic Algorithm optimization:
- Open the Format Objects window.To open the Format Objects window, right-click on an empty area of the chart and then click Format Signals.
The Format Objects window can also be opened by one of the following methods:
- Select Format in the main menu and click Signal.
- Double-click any one of the signal's labels on the chart.
- Position the mouse pointer over any one of the signal's labels on the chart; once the Pointer changes into a Hand , right-click the label and then click Format Signals. - Select the Signals tab.
- Click the Optimize button.
- In the Select Optimization Method dialog box that appears, select Genetic Algorithm.
- In the Genetic Algorithm Properties window that opens, select the Optimizable Inputs tab.
- In the Start Value column, enter the desired starting values for each of the inputs.
- In the End Value column, enter the desired ending values for each of the inputs.
- In the Step column, enter the desired step size, for each of the inputs.
- Select the Algorithm-specific Properties tab.
- Select criteria:
- 1. Select Standard Criteria.
- 2. Select the criteria from the drop-down list. Read more about Standard Criteria.
or: - 1. Select Custom Criteria.
- 2. Click Edit... button.
- 3. Write the script for the custom criteria. Read more about Custom Criteria.
- 4. Click OK.
- Select Ascending or Descending option to sort the output in ascending or descending order, respectively.
- An optimum population size value is automatically placed into the Population Size box; if a different value is desired, enter the value into the box.
- In the Crossover Probability box, enter the desired crossover probability; value range is 0.95-0.99, with a default of 0.95.
- In the Mutation Probability box, enter the desired mutation probability; value range is 0.01-0.05, with a default of 0.05.
- In the Convergence Type drop-down list, select Number of Generations or Proximal Convergence.
- In the Maximum Number of Generations box, enter the desired maximum number of generations.
- If Proximal Convergence was selected, enter the desired minimum number of generations and convergence rate into the respective boxes. A value, approaching 1 is usually selected for the convergence rate; the default value is 0.990000.
- In the Genetic Algorithm Subtype drop-down list, select Basic or Incremental algorithm subtype.
- If Basic algorithm subtype was selected, select Yes or No for Use Elitism option.
- If Incremental algorithm subtype was selected, select the Replacement Scheme and Offspring Number (number of “children”).
- Click OK to run the optimization and generate the Optimization Report.
Standard Criteria
Standard Criteria lets the user select a criterion from a pre-defined list.
For example, if the user selects Net Profit, the optimization will find the parameters that generate the highest Net Profit.
Custom Criteria
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