No announcement yet.

Request for the Optimization of trading strategies

  • Filter
  • Time
  • Show
Clear All
new posts

  • Request for the Optimization of trading strategies

    one of the key steps in the development of trading strategies is the optimization. To my knowledge eSignal does not provide any useful tool to facilitate or expedite the optimization of trading strategies, is not it ?
    To illustrate, if we had a trading strategy based on the classic crossing of averages and we wanted to find out which is the pair of averages that provides the best result, we would be forced to make many backtests manually entering parameters of all combinations of values ​​with great waste of time and effort.
    I think that it would be greatly appreciated by all users of eSignal if it were included the possibility of an automatic scanning of all possible combinations within ranges set by the user. Returning to the averages, scan all possible combinations with the first average values ​​from 5 to 10 and the second with average values ​​from 20 to 50, for example.
    In the hope of your reply,
    best regards

  • #2
    Hello Massimo,

    Thank you for the post. I’ve forwarded your suggestion on to our Product Managers. They will review the suggestion and if possible it will be added to a future release of eSignal.

    eSignal Support


    • #3

      I've spoken with our Product Managers; plans are underway to add a Trade Strategy Optimizer to eSignal 11 in the future. No real details were given so I can't say with certainty when it will be available.

      eSignal Support


      • #4
        Walk-Forward Analysis

        Ok, thank you.
        When it will be, please think at walk-forward analysis.


        • #5
          About Strategy Optimization

          Dear Product Managers,
          I like very much eSignal v10.6.
          At the moment I can't use v11.3 because It lacks some feature of v10.6, but I hope It will be soon completed.
          I wrote in the past to ask for an improvement of backtesting and for a strategy optimizer.
          Just to let you know what is available on the market, but I'm sure you already know, I made a cut&paste with the features I think eSignal should achieve.
          Please, pardon me if I'm rude but I have to exhort you to hurry up because competitors run fast !!!

          Cut&Paste from internet:

          What is strategy optimization?
          Strategy optimization is the search for optimum parameters for predefined criteria. By testing a range of strategy input values, optimization helps select values that correspond to optimal strategy performance based on historical data.

          Offering extensive choices
          ... offers exhaustive and genetic optimization, as well as walk-forward testing. Each optimization type offers its own advantages and disadvantages, and each is great for accomplishing certain tasks. You can use them separately, or you can combine them to get a complete look at strategy performance.

          Exhaustive (Brute-Force) Optimization
          Strategy optimization is done to find good parameters, and eliminate bad ones. Exhaustive optimization systematically goes through all potential combinations as it searches for the solution with the highest results for the criteria you chose.

          Maximum speed of optimization
          You can find inputs that maximize net income, minimize drawdown, or result in fewest trades. The amount of time the exhaustive optimization feature needs to find the solution relates directly to the number of possible combinations it needs to test—the more combinations you have, the longer it will take. If only a few parameters are tested for a short range, this method is definitely optimal for finding the best inputs. Also, in ... optimization is spread across all available CPUs, which means your optimization speed will increase with the number of cores in your computer. This method of spreading the work across CPUs is called multi-threading.

          Exhaustive optimization vs. Genetic optimization
          Each optimization type has its benefits and drawbacks. You must choose the right tool to get the job done, and find the result you need.

          Different tools for different needs
          If you are testing many possibilities, exhaustive optimization takes a very long time—even with multi-threading. The advantage of exhaustive optimization is that it is guaranteed to find the absolute optimal inputs in the testing range, but the drawback is that it takes a very long time if many possibilities are tested. Therefore, it should be used where the number of possibilities is relatively small, or where you must find the absolute best solution. Another nuance is that the absolute best inputs might actually be an outlier, which does not result in good performance on a consistent basis. Genetic optimization addresses this issue because it performs strategy optimization differently.

          Optimization Report
          This report shows the optimization results, and you can filter output combinations by one or more criteria. For example, to find a strategy with the maximum net profit and minimum max drawdown—first sort by net profit in ascending order and then by drawdown in descending order.

          Custom Fitness Function Optimization
          You can set your own custom search criteria for strategy optimization.

          Optimization with multiple conditions
          With this feature you can optimize using several conditions, as opposed to just one. For example, you can find a strategy that combines the greatest profit, lowest drawdown, and the highest percentage of profitable trades. You can use custom fitness function optimization in regular and portfolio backtesting—as well as with genetic and exhaustive trading system optimization.

          3D optimization graphs
          3D optimization graphs give visual representations of how the strategy parameters affect trading performance. The 3D graph reveals most robust parameter zones, and is a great tool for avoiding over-optimization, which also known as curve-fitting.

          Avoiding over-optimization
          A strategy that has abrupt performance breakdowns with only small parameter changes cannot be considered robust. You can superimpose results of different optimizations onto each other to compare results, and see if the optimal inputs you found are confirmed by other tests. You can use superimposition to compare genetic and exhaustive optimization results, and you can evaluate how robust your findings are. 3D surfaces can be drawn by any criteria available in the optimization report—for example net profit, percent profitable, and max drawdown. Relevant input and output values are displayed when the mouse cursor hovers over a particular point on the graph’s surface.


          • #6
            Trade Strategy Optimizer?

            Originally posted by eSignal_AveryH View Post

            I've spoken with our Product Managers; plans are underway to add a Trade Strategy Optimizer to eSignal 11 in the future. No real details were given so I can't say with certainty when it will be available.

            eSignal Support
            Hi AveryH

            Any updates on when the Trade Strategy Optimizer is coming to eSignal 11? Please let me know.