V. 6:7 (240-243): SIDEBAR: More on optimization
Product Description
More on optimization
It may seem a daunting prospect to find the optimal combination of 10 trading parameters over an eight-year quote file on a personal computer, but it's not as bad as it sounds.
What Strategist does is to start with an initial strategy specified by the user, go through the quote file and compute the initial payoff.
Then it varies the first of the 10 parameters until it finds the value that gives the highest payoff—the optimal value for that parameter. It optimizes each of the remaining nine parameters in turn, then starts over again with the first parameter.
It may seem this process would go on forever, but it doesn't. After enough passes, Strategist reaches a point where the optimal values for the 10 parameters no longer change as it trades through the file. At that point, Strategist concludes it has converged on the optimal strategy and ends the search.
It may seem a daunting prospect to find the optimal combination of 10 trading parameters over an eight-year quote file on a personal computer, but it's not as bad as it sounds.
What Strategist does is to start with an initial strategy specified by the user, go through the quote file and compute the initial payoff.
Then it varies the first of the 10 parameters until it finds the value that gives the highest payoff—the optimal value for that parameter. It optimizes each of the remaining nine parameters in turn, then starts over again with the first parameter.
It may seem this process would go on forever, but it doesn't. After enough passes, Strategist reaches a point where the optimal values for the 10 parameters no longer change as it trades through the file. At that point, Strategist concludes it has converged on the optimal strategy and ends the search.
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