I wanted to see if anyone would post additional advice on optimization workflows that work, and perhaps help me explore ways to improve my own. Here are some things that work for me so far, but I'm not yet satisfied with the efficiency.
What works for me: - I come up with model theory in my head, about what might improve my trades. I do this by observation of prior trades (backtest utility), and I try to see obvious things the Strategy didn't get right. For this, I love the "chart" feature of the backtest data. - I then code some changes, and watch backtest again, knowing that it isn't optimized, but I look for some improvement with any algo changes. - Then I run divide-conquer optimization, across a broad range of min/max. But, I never can tell at what scale I want to operate on. How fast is a fast ema period, etc.... I'm always a bit unsure if even my broad range is broad enough, but I eventually settle on something. - If the divide and conquer method started to look promising, I note (and hope to see) hot spots in the heat map. Unfortunately, it is usually too spares to really see and understand what is going on. So, I take a guess at some ranges for each param. - Finally, if all went well, I setup an overnight run (usually around 3,000,000+ "combinations", which takes forever on my blazing fast new macbook retina with 16GB ram, etc, etc.. Usually 20 hours with the fan on high. Maybe I need Applecare after-all. - Now maybe I have something, then I take the best island area in this process, back-test it, and start to study trades again. Mostly, this puts me back into a loop of trying to make another Strategy change to improve it further. So, this is the process I came up with so far. It works, I get improvements, but it is very slow going. What might need improvement in either my process or the jbooktrader: - I wish to see good/bad trades fast! The chart graphs everything, and hence takes forever. I am thinking of a "trade view" chart, which shows only the area around the trade, in great detail, then maybe advance to the next trade fast. This would speed up my review of trades. - Optimizer, figuring out why it takes so long. I know, 3,000,000 combinations is a lot of work. But, I feel like maybe studying this in a profiler, and trying to make some improvements. Nevermind the wild ideas I have about farming out work to a dynamic cluster of EC2 servers using hadoop. - Indicator graphing. I have placed indicators I don't even use into Strategies, just to see them in the graph, and get a feel for if they make sense. Maybe people use some external program for this? If so, how to tell if your indicator logic is correct. So, I dirty up my strategies with unused indicators, just to see them on the graphs. - I considered trying to wire up scalalab (and learn it) to my java strategies, so i can play with more advanced analysis without rolling my own code for math routines. For example, write scalalab adapter to run my strategies, and use it like matlab to make improvements. I could then use the same java code for both math software package, and trading. A cool idea, but I only got as far as installing scalalab, nevermind learning it. - Move this onto a giant linux box in my home, and offload this optimization for now. As you can see, I'm all over the place, any advice? Did anyone else have any of these ideas? Maybe you did, and already executed on it? Since I have so many thoughts, each which require a lot of work, I'm seeking some feedback from people who have been doing this for years. I'm a newbie. Maybe I just need to learn how to use what we have better? Meanwhile, running a giant CL optimization, maybe I'll have something to trade soon. Marcus -- 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.
