Optimization Overview
What is Optimization?
Section titled “What is Optimization?”Strategy optimization finds the best parameter values for your trading strategy by systematically testing different combinations against historical data.
Why Optimize?
Section titled “Why Optimize?”- Improve Performance - Find parameters that maximize returns
- Reduce Risk - Identify stable parameter ranges
- Validate Robustness - Ensure strategy works across conditions
Optimization Methods
Section titled “Optimization Methods”Grid Search
Section titled “Grid Search”Tests all combinations of parameters within specified ranges.
Pros: Thorough, finds global optimum Cons: Slow for many parameters
Random Search
Section titled “Random Search”Randomly samples parameter combinations.
Pros: Faster, good for many parameters Cons: May miss optimal values
Walk-Forward
Section titled “Walk-Forward”Optimizes on rolling windows, validates on out-of-sample data.
Pros: Most realistic, reduces overfitting Cons: Computationally intensive
Optimization Targets
Section titled “Optimization Targets”Choose what to optimize for:
| Target | Description |
|---|---|
| Total Return | Maximum profit |
| Sharpe Ratio | Risk-adjusted return |
| Win Rate | Percentage of winning trades |
| Profit Factor | Gross profit / gross loss |
| Max Drawdown | Minimize largest decline |
Next Steps
Section titled “Next Steps”- Running Optimizations - Step-by-step guide
- Walk-Forward Analysis - Advanced validation
- Best Practices - Avoid common pitfalls