How does the optimizer choose a set of parameters

HelloHello · 08-11-2007, 10:57 AM

When doing a walk forward optimizer, how does the optimizer choose a parameter set on which to optimize, the highest value right?

NinjaTrader_Dierk · 08-11-2007, 11:02 PM

Not sure I follow. The optimizer tests all possible parameter combinations.

HelloHello · 08-12-2007, 12:29 PM

Thank you for your reply.

But, when it does a test on out of sample data, it has to take a combination of parameters from the insample data part to test. How does it chose which set of parameters to use?

Like say the in sample data from 2005 to 2006 produces the following list of parameters that are the top 4 results. On the out of sample data test it has use a parameter combination. Which combination would it use, 16/15 because it is the highest? or 4/8 because it is the 2nd highest and the neighboring parameters have good results too?

16 15 $1011
4 8 $484
5 8 $364
7 7 $301

NinjaTrader_Dierk · 08-12-2007, 11:15 PM

Are you doing a walk-forward test or an optimizer run?
- the former takes the parameter combination which returned be best results of the previous optimizer run according the selected optimizer target ("Optimize on" parameter)
- the latter does not know about out-of-sample or in-sample logic

08-11-2007, 10:57 AM	#1
HelloHello Member Join Date: Aug 2007 Posts: 83 Thanks: 0 Thanked 0 times in 0 posts	How does the optimizer choose a set of parameters When doing a walk forward optimizer, how does the optimizer choose a parameter set on which to optimize, the highest value right?
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08-11-2007, 11:02 PM	#2
NinjaTrader_Dierk Administrator Join Date: Mar 2005 Location: Bamberg, Germany Posts: 9,994 Thanks: 0 Thanked 6 times in 6 posts	Not sure I follow. The optimizer tests all possible parameter combinations. Dierk NinjaTrader Customer Service Use Kinetick, NinjaTrader’s preferred market data service - Learn More Free online training events - View Schedule
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08-12-2007, 12:29 PM	#3
HelloHello Member Join Date: Aug 2007 Posts: 83 Thanks: 0 Thanked 0 times in 0 posts	Thank you for your reply. But, when it does a test on out of sample data, it has to take a combination of parameters from the insample data part to test. How does it chose which set of parameters to use? Like say the in sample data from 2005 to 2006 produces the following list of parameters that are the top 4 results. On the out of sample data test it has use a parameter combination. Which combination would it use, 16/15 because it is the highest? or 4/8 because it is the 2nd highest and the neighboring parameters have good results too? 16 15 $1011 4 8 $484 5 8 $364 7 7 $301
	Facebook Twitter YouTube

08-12-2007, 11:15 PM	#4
NinjaTrader_Dierk Administrator Join Date: Mar 2005 Location: Bamberg, Germany Posts: 9,994 Thanks: 0 Thanked 6 times in 6 posts	Are you doing a walk-forward test or an optimizer run? - the former takes the parameter combination which returned be best results of the previous optimizer run according the selected optimizer target ("Optimize on" parameter) - the latter does not know about out-of-sample or in-sample logic Dierk NinjaTrader Customer Service Use Kinetick, NinjaTrader’s preferred market data service - Learn More Free online training events - View Schedule
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