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Open Feature request MC-385

Feature request: optimize on resolution/time frame

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Description

Allow the resolution of a chart (minutes, ticks, points, etc) to be used as an input for optimization so that the range of values can be easily tested without having to manually run the same optimization over and over with the different resolution and variables inputs.
 
The advantages of this feature are three-fold. First, it allows us to quickly get an idea on which resolution the strategy works best - according to the goals (profit, drawdown, number of trades, etc) of the user. For example, would an resolution of 500 ticks give the best risk/reward, or would 600 tick be better? What about 450, or 575? Perhaps 625 yields even better results?
 
Second, it gives an idea of the robustness of an strategy idea - perhaps the strategist is lucky with his default time frame and the strategy performs mediocre on different chart resolutions. Does the strategy for example performs good on a 60 minute chart, but loses a lot of money on other time frames?
 
Third, it gives an idea of the robustness of the indicators and the relative impact of each one on the performance. If a indicator is optimized from 10 to 100 on various resolutions, but performs equally well or bad on these time frames, it can be argued that this is a redundant rule. Should the indicator only performs well on a couple of time frames, while losing a lot of money on others, this gives a strong indication that this is a overfitted rule. 
 
To summarize: being able to optimize on different resolutions gives a better idea of the performance of the strategy, and enables us to get a better idea of the robustness of our strategy.

Steps to reproduce this issue

n/a

Comments (2)
#0
user-offline.png  JoshM (Jura)
Apr 10, 2012 - 09:00

With the new MultiCharts 64bit, I suppose the memory usage of this requested feature isn't a problem any more. So, any update regarding this important feature? :

#0
user-offline.png  JoshM (Jura)
Apr 10, 2012 - 09:00

With the new MultiCharts 64bit, I
suppose the memory usage of this requested feature isn't a problem any
more. So, any update regarding this important feature? :)

History
Issue basics
  • Type of issue
    Feature request
  • Category
    Usability
  • Targeted for
    Not determined
  • Status
    Confirmed
User pain
  • Type of bug
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  • Likelihood
    Not triaged
  • Effect
    Not triaged
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  • Severity
    Normal
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