Matrix Optimization: Difference between revisions
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== What is Matrix Optimization? == | == What is Matrix Optimization? == | ||
Matrix Optimization is | Matrix Optimization is used to determine the most optimal parameters for Regular Re-optimization: how often and in what IS/OOS proportion it will be used. | ||
The Matrix Optimization feature also includes the system of [[Strategy Robustness]] estimation. The estimation is carried out according to the user specified criteria. You don’t have to repeat Optimization to receive new results – just change the criteria. | |||
== Running Matrix Optimization == | |||
Optimization is accessible through the Strategy Properties window, Chart Analysis Toolbar, and View menu as in previous MultiCharts versions: | |||
[[File:Optimtoolbar2.png]] | |||
[[File: | |||
Use one of the above-mentioned ways to call Optimization wizard and select the last item in the appeared window: | Use one of the above-mentioned ways to call the Optimization wizard and select the last item in the appeared window: | ||
[[File:chooseoptimtype.png | |||
[[File:chooseoptimtype.png]] | |||
First you need to specify the Optimization parameters: | |||
*input values; | *input values; | ||
*algorithm (exhaustive or genetic); | *algorithm (exhaustive or genetic); | ||
*target function to be optimized. | *target function to be optimized. | ||
In this step the settings are the same as for regular optimization: | |||
[[File:Setoptiminputs.png]] | [[File:Setoptiminputs.png]] | ||
Then | Then it is required to set up Matrix Optimization parameters: | ||
*number of runs; | *number of runs; | ||
*proportion of IS/OOS intervals. | *proportion of IS/OOS intervals. | ||
[[File:OptimByNumberOfRuns.png]] | [[File:OptimByNumberOfRuns.png]] | ||
[[File:OptimByOOSinterval.png]] | [[File:OptimByOOSinterval.png]] | ||
In the next step the Strategy Robustness parameters should be configured: | |||
[[File:StrategyRobustneSettings.png | [[File:StrategyRobustneSettings.png]] | ||
Please refer to [[Strategy Robustness]] article for more details. | Please refer to [[Strategy Robustness]] article for more details. | ||
The results of Matrix Optimization can be viewed in the Matrix Optimization Report. It looks like Walk-Forward Optimization Report, but there is an expandable element at the top which helps to navigate between different cells of the report: | The results of Matrix Optimization can be viewed in the Matrix Optimization Report. It looks like the Walk-Forward Optimization Report, but there is an expandable element at the top which helps to navigate between different cells of the report: | ||
[[File:MatrixOptimizReport.png | [[File:MatrixOptimizReport.png]] | ||
Maximized view of the Matrix Optimization Report: | Maximized view of the Matrix Optimization Report: | ||
[[File: | [[File:MaximMartixOptimReport2.png]] | ||
In minimized mode the title shows which matrix element is selected: | In the minimized mode the title shows which matrix element is selected: | ||
[[File:MiminMatrixOptimReport.png | [[File:MiminMatrixOptimReport.png]] | ||
== Access to the Optimization results == | == Access to the Optimization results == | ||
Regular | Regular optimization may take quite a lot of time. Matrix Optimization is even a more time-consuming process, so we made sure that | ||
Optimization results are accessible for you at any time. | |||
In MultiCharts 12 Optimization and each of the reports can be accessed from Toolbar and from the View menu (if a chart window with applied signals is active): | |||
[[File: | [[File:AccessToOptimResults2.png]] | ||
# Optimization wizard start button; | |||
# Button/menu item to view Strategy Performance Report; | |||
# Button/menu item to view Strategy Optimization Report; | |||
# Button/menu item to view Walk-Forward Optimization Report; | |||
# Button/menu item to view Matrix Optimization Report; | |||
# Button/menu item to view Trading Performance Report. | |||
Moreover, each report can be saved as a separate file (saving is enabled by default). The file can be added to a zipped archive, sent by e-mail, etc. In order to view such file, it’s enough to have a utility installed, no authorization required. | |||
[[Category:Optimization]] | |||