Let's imagine I want to create a LongDefender strategy for YM. Obviously ES > parameters won't work for this contract, so how do you set your parameters > ranges? > > Do you optimize it with wide ranges (taking a loong time) and then restrict > them by checking best performances? > > 1. I almost always optimize for best Performance Index. Resist the temptation to look for the highest P&L and profit factors. 2. Optimizer takes advantage of all the CPUs on your machine. The very powerful i7 chips are inexpensive these days. 3. The optimization period is important. On the one hand, you want to include as much of the history as there is, but on the other hand, you don't want the optimizer to "learn" from the distant past. 4. The min number of trades is important, too. If you set it too low, it's highly likely that you will find strategies with astronomical profit factors, but the statistical significance of those will be low. But if you set the number of trades to be too high, you'll be forcing the optimizer to take the trades. 5. The divide-and-conquer optimizer is fast. Notice that you can control its speed vs accuracy (click the "Advanced" button) 6. After the D&C run is complete, you may want to inspect the optimization maps and then run the brute force optimizer on a smaller sub-space of parameters. I usually run my brute force optimization runs overnight, as they may go through millions of strategies. 7. When choosing the final values of parameters, I'd suggest finding the broad plateaus from the optimizations maps, i.e. the large areas of high performance, as opposed to isolated peaks. If there are several of those plateaus, you may want to define one strategy for each of those, and trade multiple strategies. 8. After you decided to settle on a specific set of parameters, don't forget to hard-code them into your strategy and recompile. 9. Once in while (let's say every month or so), re-run optimization to incorporate the latest data and to see if your best parameter set should be adjusted. 10. When trading your final selection of strategies, be patient and do not interfere with the strategies by taking manual trades.
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