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How brute should be execution of brute force algorithm?

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Rom

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5 years ago #114200

The data: daily oil price contract since 2003; several easy to spot “trends”.

The setup somewhat restrictive, but nothing prohibitive, I think.

The result:  after >6.5 million tests not a single strategy popped.

 

I modified settings removing, for example, the stops (system all the time in the market) hoping it will produce a few strategies, but nothing materialized.  I examined the data (seems ok), changed the data to gold contract, without result.  

 

I wander how typical is my experience ?  

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geektrader

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5 years ago #132639

Brute Force will take you years to find something useful if you combine a lot of parameters. Go with genetic optimization several times, figure out a good range for each parameter of the strategy, then you can run genetic optimization again in just that range and narrow it down. Brute force, except if you have a low amount of runs, does lead to nothing without a NASA computer:)

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Rom

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5 years ago #132647

Thanks  !

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