Here is a simple example: I optimize a simple SMA in the range 30 to 300, increment 10. How can it be that a value like 128 comes out here, it should only come out values like 80, 120, 150 etc.? Am I making a mistake here?
Rename
It's because you're using one of the finantic optimizers. Our in-house optimizers respect the increment, but finantic doesn't.
ok, which optimizer should I use so that it is correct please?
It's not that one way is correct and another isn't, there are plenty of users who like the ability of the finantic optimizers to "get between" the increments.
If you don't want that behavior though stick to the optimizers that come pre-installed with WL8, Exhaustive and Shrinking Window.
If you don't want that behavior though stick to the optimizers that come pre-installed with WL8, Exhaustive and Shrinking Window.
QUOTE:
... so that it is correct...
The standard job of an optimizer is to find that one set of parameters that makes a trading strategy achieve the "best" result, measured by a defined performance metric like APR or Sharpe ratio.
It is not part of an optimzer's job to respect any increment values of the optimizable parameters. These increments exist, because the classic "Exhaustive" optimizer could not work without them.
Modern optimizer algorithms like Shrinking Window or SMA are able to find a very good maximum for the target metric without the (artificial) restriction of possible value increments. In fact these modern algorithms find better results, more precise and with (far) less iterations.
QUOTE:
... so that it is correct...
The much bigger concern should be: Are the results over-optimized or robust?,
but this is a completely different story....
@ Dr. Koch
Thank you.
Thank you.
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