> > > My heat map consisted of just a few short lines, as I had to increase the > parameter steps because I ran put of heap memory. But I thought perhaps the > map results could be interpolated, like the do in climatology sites, using > 'kriging' or some similar method. > > You may want to try the "divide-and-conquer" optimizer, instead of the "brute force" optimizer. The "D&C" optimizer makes a trade-off between the time needed for optimization, and the density of the map.
> Looking at the heat map it seemed the performance Island was off the upper > right corner in the parameter space. Panning the ranges I centered the > island (sorry I don't know how else to describe it) as a blob within a > window from 3600-4600 in period and in 22.5 to 26.5 in scale, from 98 to > 101 in Entry and -6 to 6 in Exit. > Choosing the centroid of the blobs as Period 4100, Scale 24, Entry 98, > Exit 0, I got improved performance back testing as $2092 net profit, 2.0 > PI, after 61 trades > This is how one is supposed to choose parameters, right? > Yes, that's the right methodology. > > P.S.: This thing is really interesting, I bet the island moves and changes > shape as time goes by, and conditions change. I would like to explore an > algorithm that continuously updates the 'centroid' of the island. > > Yes, the "optimal" set of parameters would change, as you add more training data. > -- > You received this message because you are subscribed to the Google Groups > "JBookTrader" group. > To unsubscribe from this group and stop receiving emails from it, send an > email to [email protected]. > To post to this group, send email to [email protected]. > Visit this group at http://groups.google.com/group/jbooktrader. > For more options, visit https://groups.google.com/groups/opt_out. > -- You received this message because you are subscribed to the Google Groups "JBookTrader" group. To unsubscribe from this group and stop receiving emails from it, send an email to [email protected]. To post to this group, send email to [email protected]. Visit this group at http://groups.google.com/group/jbooktrader. For more options, visit https://groups.google.com/groups/opt_out.
