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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.
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'''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 '''Optimize''' http[[File://wwwPortfolio_Optimize.multicharts.com/img/wiki/toolbar/portfolio/06_Optimize.gif 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.
# Check/uncheck the check box to the left of the signal name and input name to enable/disable optimization for this inputor check the check box to the left of the '''Signal Name''' column heading to enable optimization for all inputs (at least one input should be selected to perform optimization).
# The '''Current Value''' column shows input values that are currently selected for the signals applied on the chart.
# In the '''Start Value''' column, enter the desired starting values for each of the inputs.
To perform portfolio optimization:
# Click the '''Optimize''' http[[File://wwwPortfolio_Optimize.multicharts.com/img/wiki/toolbar/portfolio/06_Optimize.gif 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.
# Check/uncheck the check box to the left of the signal name and input name to enable/disable optimization for this input or check the check box to the left of the '''Signal Name''' column heading to enable optimization for all inputs (at least one input should be selected to perform optimization).
# The '''Current Value''' column shows input values that are currently selected for the signals applied on the chart.
# 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.
# The '''Step Count''' column shows current amount of steps for an input.
# Select the '''Algorithm-specific Properties''' tab.
# Select the best results criteria in the '''Criteria''' list box.
# Set the Genetic Algorithm properties. For information on GA properties, see [[Understanding_Optimization#Understanding Genetic Algorithm Optimization|Understanding Genetic Algorithm Optimization]]
# Click '''OK''' to run the optimization and generate the Optimization Report.
# Optimization dialogue window shows Average fitness value for current population during optimization.
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== Using Optimization Report ==
3D Optimization Chart is a visual representation of how the strategy's parameters affect its trading performance. The 3D graph reveals the most robust parameter zones, and is a great tool for avoiding over-optimization (curve-fitting). Robust parameter zones will appear to have gradual, rather then abrupt changes in the surface plot. Over-optimized zones will appear to have radical changes or spikes in the surface plot.
To view the 3D Optimization Chart, click the '''View 3D Optimization Chart''' http[[File://wwwPortfolio_3D.multicharts.com/img/wiki/portfolio/3D_Chart.gif png]] button at the bottom left of the report window.
A 3D Chart will be displayed in the '''3D Optimization Charts''' window.
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[[Category:Portfolio BacktesterTrading]]
