3. Initial Standard Optimizations
Starting now, I get into the boring subject of tests, numbers, statistics, and optimization method. Before the walk-forward optimizations, I must reduce the range of possible parameters in the study to cut down on processing time. Walk-forward optimization takes a large number of parameters and combs through them numerous times. For example, in this project, the minimum number of calculations, if we use only round numbers, is 100 rank numbers for buys in the index × 100 rank numbers for sells from the index × 251 trading days per year × 23 years of price history × 6,272 stocks × 30 lookback periods × 10 minimum volume trials × 30 percentage-stop levels × 9 walk-forward optimizations = 2.94455 × e16 calculations ...
Get Kirkpatrick’s Investment and Trading Strategies: Tools and Techniques for Profitable Trend Following now with the O’Reilly learning platform.
O’Reilly members experience books, live events, courses curated by job role, and more from O’Reilly and nearly 200 top publishers.