Optimization Analysis

[cfree5119]

I have run a backtest and optimization on a given strategy. What I would like to know is how people go about interpreting and analyzing their results? I export my optimization from excel but not sure how to boil down to the parameters that will yield me the best overall results on a basket of instruments. Maybe there is an article or good read on this subject outside of Ninjatrader?

I have saved the best 5 results for each stock but need a better way of getting to one overall result. Thank you for any advice or pointers.

[NinjaTrader_RyanM]

Hi cfree5119,

Hopefuly other community members could point you to some external references on interpreting optimization results.

You can think of optimization as doing the work of setting up many backtests to be done all at once, and then the results are compared and ranked by the optimization factor you choose.

We feel optimization and backtesting results should not be taken on their own, but are part of the whole strategy development process. The next step then is testing live on simulated account or with market replay, to ensure good sound mechanical operation, which could then spark further backtesting analysis.

[cfree5119]

Right. I am looking for some other forum members to chime in and explain their process of determining the best parameters of say the top 5 results of each instrument. The next step is walk forward testing to determine how well the system really works. Thank you.