Optimising all parameters

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  • 06/05/2020 at 11:41 AM #134694 quote
    boonet
    Participant
    Senior

    Hi,

    Just interested to know how you optimise a code with many parameters.

    I have my code with about 20 parameters and looking to optimise all of them in-sync.

    Problems I am facing –

    1. 100k combinations limit
    2. Optimising few parameters at a time is not having desired effect on the overall result. I am expecting about 200 trades in 3 month period (1-min strategy), but I am getting only 60 trades
    3. Fine tuning is so difficult with so many parameters
    06/05/2020 at 11:59 AM #134696 quote
    GraHal
    Participant
    Master

    Use big increments first … very big on 20 parameters! 🙂

    For example, on 0 to 100 use 25 100 25 or even 50 100 50

    Then narrow it down etc

    boonet thanked this post
    06/06/2020 at 11:57 PM #134939 quote
    boonet
    Participant
    Senior
    GraHal wrote:

    Use big increments first … very big on 20 parameters! 🙂

    For example, on 0 to 100 use 25 100 25 or even 50 100 50

    Then narrow it down etc

    Yes Grahal, even though it seems to be time taking process its the best way forward.

    Thanks.

    06/07/2020 at 8:05 AM #134946 quote
    Vonasi
    Moderator
    Master

    @boonet – Topic moved to ProOrder forum as it is a strategy related question and not a General Discussion topic. Please ensure that you post in the correct forum with any future topics.

    06/07/2020 at 8:43 AM #134950 quote
    zilliq
    Participant
    Master

    Remember that more parameters you have, more difference between In and Out Sample you will have 😉

    3 or 4 parameters is the maximum

    Zilliq

    buffster76 thanked this post
    06/09/2020 at 10:08 AM #135274 quote
    boonet
    Participant
    Senior

    Ok Vonasi, will remember that in future.
    Thanks.

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Optimising all parameters


ProOrder: Automated Strategies & Backtesting

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boonet @boonet Participant
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This topic contains 5 replies,
has 4 voices, and was last updated by boonet
5 years, 8 months ago.

Topic Details
Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 06/05/2020
Status: Active
Attachments: No files
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