Optimizing many parameters

[Luandre Ezra]

Hi,

I want to optimize a strategy with many parameter. It is advise to do it maximum 3 parameter  per optimization to avoid overfitting,  so the optimization will be run twice. Let's say I have 6 parameter to optimize 3 parameter for entry (indicator parameter) and the other 3 for exit (tp sl).

As far as I know for strategy to work it needs both entry and exit to work simultaneously to give a great confidence result that it is the optimum combination. For example if I want to optimize the indicator parameter with tp 400 points and sl 200 points, the best result (parameterA) for indicator parameter optimization only works in favor for those tp and sl. If we optimize all 6 parameter the best result would be parameterB with tp 600 and sl 300 points.

I understand about the over-fitting that may come with optimizing more than 3 parameter, but when we optimizing 3 parameters first and 3 afterwards, doesn't it we will miss the optimum value? What your thoughts about this?

[dcstoyanov]

Luandre Ezra:
I understand about the over-fitting that may come with optimizing more than 3 parameter, but when we optimizing 3 parameters first and 3 afterwards, doesn't it we will miss the optimum value? What your thoughts about this?

Optimization is always overfitted, even with 1 parameter, because you are working on historical data. You can optimize your strategy with all your parameters at the same time, but the optimum value will be always restricted to the past.