Sometime I want to try making a long term volitily indicator (one that uses data for multiple days) and scale the behavior to that. Doing this for a tradeable implementation would require a lot of work, as you would need to scan some form of historical data before you could start trading, or you would have to wait days for the required data to be collected.
On Sat, Dec 4, 2010 at 8:22 AM, Astor <[email protected]> wrote: > Yes. This discussion thread is exactly what I am thinking. I think your > post on that thread, that I appended below, is very much to the point. I > would only add that the re-optimization need not be *very* time consuming. > Since of the 20 days in the new optimiztion window, 19 overlap with those in > the old optimization window, the new parameters must be very close to the > old ones. So the search could begin at the old parameter values and explore > only a very small optimization space around them. New parameters will be > close to old ones, but over many days can drift quite far, refelecting > changing market dynamics. > > > >I thought about dynamic parameters, too. This would become a sort of a > >"meta-optimization". For example: > > >1. Optimize on a particular subset of data (say the last 20 trading days) > >2. Use the best combination of parameters found in step 1 to back test the > > >next immediate one day > >3. Shift one day forward, and optimize on the previous 20 days > >4. Use the best combination of parameters found in step 2 to back test the > > >next immediate one day > >5. Proceed with steps 1 to 4 until the end of data > >6. Repeat the entire sequence from 1 to 5, using different moving window > >size, to find out which window size yields the best results. > > >This is entirely possible with JBT, although it would be *very* time > >consuming. The benefit is that it would effectively create a strategy with > > >dynamic parameters which would change every day (based on the recent > >market behavior), and potentially capture the ever changing dynamics of > the > >market. > > > > Alena > > > ------------------------------ > *From:* Eugene Kononov <[email protected]> > *To:* [email protected] > *Sent:* Sat, December 4, 2010 9:10:43 AM > *Subject:* Re: [JBookTrader] Dynamic Parameter Optimization > > I tthink you are referring to the "walk-forward" optimization. This has > been discussed here: > > http://groups.google.com/group/jbooktrader/browse_thread/thread/983632ec6bc4c839/ > > > On Sat, Dec 4, 2010 at 8:48 AM, Alexana <[email protected]> wrote: > >> Has anyone tried to optimize the Entry parameter in velocity >> indicators dynamically? In other words, for each time T optimizing the >> Entry parameter on a moving window of previous N data points and using >> that optimal Entry parameter at time T +1. It is possible that the >> optimal value of Entry parameter may depend on the market conditions, >> such as price volatility. If that is the case, then dynamic parameter >> optimization would track such conditions and may improve the results. >> >> -- >> You received this message because you are subscribed to the Google Groups >> "JBookTrader" group. >> To post to this group, send email to [email protected]. >> To unsubscribe from this group, send email to >> [email protected]<jbooktrader%[email protected]> >> . >> For more options, visit this group at >> http://groups.google.com/group/jbooktrader?hl=en. >> >> > -- > You received this message because you are subscribed to the Google Groups > "JBookTrader" group. > To post to this group, send email to [email protected]. > To unsubscribe from this group, send email to > [email protected]<jbooktrader%[email protected]> > . > For more options, visit this group at > http://groups.google.com/group/jbooktrader?hl=en. > > -- > You received this message because you are subscribed to the Google Groups > "JBookTrader" group. > To post to this group, send email to [email protected]. > To unsubscribe from this group, send email to > [email protected]<jbooktrader%[email protected]> > . > For more options, visit this group at > http://groups.google.com/group/jbooktrader?hl=en. > -- You received this message because you are subscribed to the Google Groups "JBookTrader" group. To post to this group, send email to [email protected]. To unsubscribe from this group, send email to [email protected]. For more options, visit this group at http://groups.google.com/group/jbooktrader?hl=en.
