Please vote for my new feature: Sequential Optimization

Please add the option to optimize each signal individually one at a time in the order they are presented on the chart. This will greatly reduce the number of simulations require to find the optimal values. This will especially useful for optimizing multiple trading strategies in portfolio backtester. In many cases the trading strategies are independent of one another so there is no need to optimize the signals together.

Example:
Signal #1 is a simple moving average crossover strategy. I want to find the optimal look back period for each simple moving average. I’m going to try values from 10 to 100 in increments of 10. My total search space is 10*10 = 100.

Signal #2 is my percent profit target and stop loss. I want to find the optimal percent for profit target and my stop loss. I want to try values from 1 to 5 in increments of 0.5. My total search is again 10*10 = 100.

If I were to optimize both signals simultaneously my search space becomes 10*10*10*10 = 10,000. However, if I optimize Signal #1 by itself first then turn optimize Signal #2 my search space is only (10*10) + (10*10) = 200.

I’m looking to do the following.
1. Turn on Signal #1 Turn off all other Signals.
2. Find optimal parameters for Signal #1 and change inputs to optimal parameters
3. Turn on Signal #2
4. Find optimal parameters for Signal #2 and change inputs to optimal parameters
5. Repeat this process for all remaining signals

https://www.multicharts.com/pm/viewissu ... no=MC-1326

Hello quantarb,

That is already possible to optimize signals one by one in MultiCharts 8.5 Release.
Check/uncheck the check box to the left of the signal name and input name to enable/disable optimization for this input.

Hello quantarb,

That is already possible to optimize signals one by one in MultiCharts 8.5 Release.
Check/uncheck the check box to the left of the signal name and input name to enable/disable optimization for this input.

Hi Henry,

I'm aware you can enable/disable optimization for each parameter. The problem is this process is manual. This means you cannot do a walk forward analysis.

There are some subtle differences between my method and optimizing one parameter at a time.

In my example, I'm trying to find the best look back periods for the simple moving averages crossover strategy without any profit targets or stop loss first. This is because Signal #2 is turn off until I find the optimal parameters for Signal #1. Then I find the best profit target and stop loss for that particular set. The optimal parameters of Signal #1 are independent from Signal #2.

If I were to optimize one parameter at time, I would be looking for the best look back periods for Signal #1 given the default settings from Signal #2. The optimal parameters from Signal #1 are dependent on the default values of Signal #2.