Quote from elitetradesman:
It appears that the way NinjaTrader does optimization is simply running multiple backtests with a range of values for each parameter in a brute force way. Is this correct? Then, is optimization just running a series of backtests and picking parameter values from the backtest with the best results? Does that mean a trading platform does not make use of any linear optimization library?
Good point and I don't think many here will understand it because I suspect very few in these threads have had formal studies in optimization theory.
To make a long story short, never, I mean never
use products like that. This is not optimization but plain undermining of the intelligence and knowledge of people. They call it optimization to impress idiot traders but in the best case it is more of a crude perturbation technique with no measure of stability and convergence.
I have worked in the past for a quant firm and there they used non-linear optimization algorithms to find the optimum parameter set for strategies and they also calculated metrics to ensure that was a true optimial set.