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Optimizing with Many Parameters

Posted: Sun Nov 23, 2003 10:36 am
by steor01
MODERATOR'S NOTE: Moved from viewtopic.php?t=664 to new topic since this wasn't really about "Synthetic Indicator's".

I am naive enough to have thought that I would simply set step values for all of the indexable fields and let 'er rip. I'd come back in a few hours or days and see the world's largest simultaneous linear equation would have completed who knows how many tests and -- voila -- there is the best of the best.

I see it doesn't quite work that way and now I realize I don't really know how to test with a system in which there are a lot of steppable variables. Do you pick one, vary it over a range, write down the best value?
Set that variable to the best value and pick another one, vary it over a range, and write it down.
Then set the second variable to the best value and so forth?

I would appreciate thoughts from the persons on this forum, who are obviously quite experienced and knowledgeable.

Thanks!

Posted: Sun Nov 23, 2003 12:26 pm
by omegaman
Maybe you'd enjoy reading the book Design, Testing, and Optimization of Trading Systems. They sell it new and used on several internet sites, and it has been reviewed here on the Roundable too.