411
Good evening
I have a few questions about this.
Under the standard optimization settings, I can't seem to specify what should be optimized for. If I then go to the "Walk-Forward" tab, I can set things like Sharpe ratio, APR, etc.
My question is: what is optimized for under "Standard"? Or do I set what I want to optimize for under "Walk-Forward," and is that then also the default for the standard optimization?
Thanks
Rename
A Standard Exhaustive optimization runs all permutations of variables. An optimization target isn't required - just sort the tabular results for the metric of interest or use Filter Sets. Other methods like Shrinking Window have a Configuration Optimization Method dialog (click the button) where you'd choose the Target Metric.
Re: WF Run Selection Metric
WFO has to pick a set of variables from each WF run for the final out-of-sample (OOS) backtest - even for Exhaustive.
Re: WF Run Selection Metric
WFO has to pick a set of variables from each WF run for the final out-of-sample (OOS) backtest - even for Exhaustive.
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