Matrix Optimization: Difference between revisions
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'''Matrix Optimization''' | |||
'''What is Matrix Optimization?''' | |||
Matrix Optimization is designed to determine the most optimal parameters for Regular Re-optimization: how often and in which IS/OOS proportion it shall be done. | |||
Besides, Optimization utility 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 – it’s enough to change the criteria. | |||
[[File:Example.jpg]] | |||
Running Matrix Optimization | |||
Optimization is accessible through Strategy Properties window, Chart Analysis Toolbar, and View menu as in previous MultiCharts versions: | |||
Use one of the above-mentioned ways to call Optimization wizard and select the last item in the appeared window: | |||
At first you need to specify the Optimization parameters: | |||
Input values; | |||
Algorithm (exhaustive or genetic); | |||
Target function to be optimized. | |||
On this step the settings are the same as for Regular Optimization: | |||
Then it’s required to set up Matrix Optimization parameters: | |||
number of runs; | |||
proportion of IS/OOS intervals | |||
On the next step the Strategy Robustness parameters shall be configured: | |||
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: | |||
Maximized view of the Matrix Optimization Report: | |||
In minimized mode the title shows which matrix element is selected: | |||
Access to the Optimization results | |||
Regular Optimization may take quite a lot of time. Matrix Optimization is even more time-consuming process. We took care to make Optimization results accessible for you at any time. | |||
From MultiCharts 12 Optimization and each of the reports can be accessed from Toolbar and from View menu (if a chart window with applied signals is active): | |||
1. Optimization wizard start button; | |||
2. Button/menu item to view Strategy Performance Report; | |||
3. Button/menu item to view Strategy Optimization Report; | |||
4. Button/menu item to view Walk-Forward Optimization Report; | |||
5. Button/menu item to view Matrix Optimization Report; | |||
6. 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. |