267
edits
Changes
no edit summary
The process of strategy optimization further enhances and automates this process. Strategy optimization is the search for the set of optimum parameters for the defined criteria. By testing a range of signal input values, optimization aids in selecting the values that correspond, based on historical data, to the best strategy performance. Optimization aids in better understanding of strategy's characteristics and in creating new criteria for entries and exits.
Optimization can have detrimental effects if the user searches for the combination of inputs based solely on the best performance over a period of historical data and focuses to too much on market conditions that may never occur again. This approach is known as over-optimization or curve-fitting. Performance will not be the same in real trading, since historical patterns are highly unlikely to be repeated.
<br>
<br>
'''Running Portfolio Optimization'''
* Open '''Portfolio Trader''' window.
** see '''[[Portfolio Trader#Opening Portfolio Trader|how]]'''.
Once a portfolio has been created, strategy configured, and portfolio settings selected, portfolio optimization can be run.
To perform portfolio optimization:
# Click the '''OptimizeOptimization''' [[File:Portfolio_Optimize.png]] button on the toolbar, or select '''Portfolio''' in the main menu and then click '''Run Optimization'''.
# In the '''Select Optimization Method''' dialog box that appears, select '''Exhaustive Search'''.
# In the '''Exhaustive Search Properties''' window that appears, select the '''Optimizable Inputs''' tab.
# 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.
# The '''Step Count''' column shows current amount number of steps for an input.
# 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.
To perform portfolio optimization:
# Click the '''OptimizeOptimization''' [[File:Portfolio_Optimize.png]] button on the toolbar, or select '''Portfolio''' in the main menu and then click '''Run Optimization'''.
# In the '''Select Optimization Method''' dialog box that appears, select '''Genetic Algorithm'''.
# In the '''Genetic Algorithm Properties''' window that appears, select the '''Optimizable Inputs''' tab.
# 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.
# The '''Step Count''' column shows current amount number of steps for an input.
# Select the '''Algorithm-specific Properties''' tab.
# Select the best results criteria in the '''Criteria''' list box.
<br>
[[Category:Portfolio BacktesterTrading]]