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Patrizio Begni
304
Patrizio Begni  

Hi all, in you opinion, what's the best for a 15/30 min trading system :

1) choose the parameters that best fits in last 2 years

2) chosse the parameters that best fits last year

3) choose the parameters that best fits all the historical data (5+ years)

4) make an average of the previous windows 

I'm asking because in almost all TS i'm trying, the best parameters in TP and SL , can change  significally changing the window of backtest.

 

thank you

Marco vd Heijden
Moderator
5564
Marco vd Heijden  
Patrizio Begni:

Hi all, in you opinion, what's the best for a 15/30 min trading system :

1) choose the parameters that best fits in last 2 years

2) chosse the parameters that best fits last year

3) choose the parameters that best fits all the historical data (5+ years)

4) make an average of the previous windows 

I'm asking because in almost all TS i'm trying, the best parameters in TP and SL , can change  significally changing the window of backtest.

 

thank you

It will depend on the mechanism of gathering those parameters.
Patrizio Begni
304
Patrizio Begni  
the parameters in this case is SL e TP, but maybe (for example) a period of ema or Bollinger
Marco vd Heijden
Moderator
5564
Marco vd Heijden  
Patrizio Begni:
the parameters in this case is SL e TP, but maybe (for example) a period of ema or Bollinger

Okay then in my opinion the best for a 15/30 min trading system is a 1 - 5 year demo run.

What i meant was did you want good back test results or good live trading results as these are two different things.

Patrizio Begni
304
Patrizio Begni  
Marco vd Heijden:

Okay then in my opinion the best for a 15/30 min trading system is a 1 - 5 year demo run.

What i meant was did you want good back test results or good live trading results as these are two different things.

yes i know , a solid backtest is not the holy bible and is necessary a non over-optimization of it .... but without it u never know if a model is valid or not.

I also know that a TS is not a right science but an art ...

The point is to make the choices that are most logical/correct with the information that we have; so in order to non over-optimize i'm thinking to make an average of the SL e TP parameters, got from 2 time-windows (1 year and 5 years)

Marco vd Heijden
Moderator
5564
Marco vd Heijden  
Patrizio Begni:

but without it u never know if a model is valid or not.

Of course you can only know if a model is valid by throwing some of your capital at it.

So, that's the exact opposite of what you are saying.

Patrizio Begni:

The point is to make the choices that are most logical/correct with the information that we have;

And i just gave you that information:

Marco vd Heijden:

What i meant was did you want good back test results or good live trading results as these are two different things.

Now it's up to you to pick a direction.

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