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Old Jul 3rd, 2011, 07:38 PM   #1
elitetradesman
 
 
Join Date: May 2010
Posts: 128
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?

Thanks.
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Old Jul 3rd, 2011, 08:22 PM   #2
LeeD
 
 
Join Date: Feb 2008
Posts: 1,764
The problem is non-linear for most non-trivial trading strategies.
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Old Jul 3rd, 2011, 08:54 PM   #3
stevegee58
 
 
Join Date: Feb 2004
Location: Frederick, MD
Posts: 2,686
That's the usual way backtesters work. Same for WealthLab and MetaTrader.
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Old Jul 4th, 2011, 11:58 AM   #4
VisualQuant
 
 
Join Date: Oct 2010
Posts: 10
We have stochastic optimization (simulated annealing) in OpenQuant. Check it out...

Cheers,
Anton
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Old Jul 4th, 2011, 12:08 PM   #5
jimbojim
 
 
Join Date: Nov 2008
Posts: 179
Quote:
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?

Thanks.
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.
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Old Jul 14th, 2011, 03:30 AM   #6
newDave
 
 
Join Date: Jul 2011
Posts: 8
Quote:
Quote from VisualQuant:
We have stochastic optimization (simulated annealing) in OpenQuant. Check it out...
Cheers,
Anton
Unfortunately,
It is not possible to make a good use out of this feature in this product.
Despite the “engine” and the idea looks quite good but any customizing is missing for this simulation process, no reporting on the process and what is more important - there is a restriction that you can optimize only Profit, or Profit/DrawDown which is quite insufficient.
Maybe guys will improve it someday…
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