View Full Version : Optimizer Suggestion
08-12-2007, 02:06 AM
At the moment doing a basket optimization produces independent results for each instrument. What would be nice is a way to optimize the parameters over the whole basket of instruments instead of the instruments individually. This way the optimizer can actually give useful parameter values that are not instrument specific.
08-12-2007, 04:52 AM
Thanks for your suggestion. We'll add it to the list.
Side note: I was considering implementing this at an earlier stage, but the problem is that a an "aggregated" backtest result could be very misleading:
- different instruments trade at different prices levels, $ and point values are quite meaningless, only % values would be of value
- it even gets worse as you backtest across different instrument types
08-12-2007, 01:31 PM
Then it would be up to the programmer to ensure the parameters are setup as ratio parameters rather than point values. It would also be up to the user to ensure they don't optimize across instruments types.
Maybe a little warning screen or documentation on how to use the aggregate optimizer would help people properly utilize the optimizations.
Ideally this would be an option before you basket optimize so we can have both the current behavior and the basket behavior depending on what kind of results we are looking for. Thanks Dierk.