How do you manage huge optimizations?

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  • 08/07/2020 at 6:00 PM #141105 quote
    Francesco
    Participant
    Veteran

    Hi guys, i have a system with 13 variables and i’m stuck on how to optimize them without influencing each other through the process.

    If i would like to optimize them all togheter i’ll need multiple days and multiple optimizations of decreasing intervals; if i would like to optimize one of two at the same time, the next ones will be based on the previous optimizations.
    I will never have “an impartial result” without leaving the computer running for days working on one system?

    How do you manage high variables systems?

    08/07/2020 at 7:36 PM #141114 quote
    GraHal
    Participant
    Master

    Coarse / wide steps then successively tighter / smaller steps so 25 100 25 then if the result you want to use is for example 50 then use 15 75 15 then if the result you want to use is for example 30 then use 15 30 5 … or some similar reduction of the number of combinations.

    08/07/2020 at 8:00 PM #141115 quote
    Francesco
    Participant
    Veteran

    The problem is that also with wide steps its going to take days in order to complete a single system optimization…. it will be better to start now so 🙂

    08/07/2020 at 10:34 PM #141129 quote
    AlgoAlex
    Participant
    Master

    with 13 variables you can’t avoid overfitting…

    Could you minimize the number of variables? If not, why?

    08/08/2020 at 10:46 AM #141151 quote
    Francesco
    Participant
    Veteran
    AlexF wrote:

    with 13 variables you can’t avoid overfitting…

    Yet with this complex system I obtained very high robustness scores like never before, nothing is certain 🙂

    08/12/2020 at 4:24 PM #141485 quote
    zilliq
    Participant
    Master

    Agree with Alex,

    The more variables you have the more overfitt you do and the more difference you will have between backtest and the future

    2-3 variables is the maximum

    Zilliq

    08/12/2020 at 6:04 PM #141489 quote
    Francesco
    Participant
    Veteran

    As I told to alex nothing is certain in this world, you may be surprised by the potential of more complex systems as well as simple ones.

    The real mistake would be excluding one of the two ways 🙂

    08/13/2020 at 8:10 PM #141536 quote
    jebus89
    Participant
    Master

    You could try to optimize big filters first, then the signals. This depends on how the big the big filters are etc

    Francesco thanked this post
    08/21/2020 at 3:21 PM #142222 quote
    Dow Jones
    Participant
    Veteran

    When there is a lot of variables, I optimize them a bit like multitask, e.g. the Moving Average type from 0 to 6, I define it as a variable then run 6 back tests in parallel each for 1 type of moving average. Wait for few hours for all the 6 results, then pick the one I’m interested, fixed that variable to continue.

    In case of variables from different time frame, I try to treat them separately. I would comment out some filters from certain time frame temporary and optimize others first, then add them back piece by piece incremental after some variables are optimized with OOS and satisfied to define with a static value.

    Francesco and Kovit thanked this post
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How do you manage huge optimizations?


ProOrder: Automated Strategies & Backtesting

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Francesco @francesco_petrone Participant
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This topic contains 8 replies,
has 6 voices, and was last updated by Dow Jones
5 years, 6 months ago.

Topic Details
Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 08/07/2020
Status: Active
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