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  • #117755 |
    Customer
    21 Posts

    Dear developers,

     

    This will be a great task for you, but absolutely necessary. As developers of automatic trading systems, we want to create as simple strategies as possible with a few optimization parameters. In the current version of SQ is almost impossible to create such strategies and I will show you why. 

     

    When I develop strategies, I use symmetric rules for entries and exits. However, when I want to test my strategies in the optimizer, by entering some optimization parameters I would disrupt the symmetry. Not to mention the gigantic amount of optimization parameters. Let’s take a look at the example.

     

    In the picture below you can see that my symmetric strategy contains optimization parameters for long and short side separately (This is wrong, of course). These parameters are: LongStopOrderCoef, ShortStopOrderCoef, pHighest_1, pLowest_1. If I decide to optimize one of these parameters, the symmetry of strategy is lost. What’s worse, I need to optimize two extra parameters unnecessarily! So, in this case, instead of a strategy with 250,000 iterations, I’ll get a strategy with more than 50,000,000 iterations! And that’s absolute nonsense. SQ is not able to effectively optimize in such a huge space. Not to mention that it is very time consuming.

     

    Unfortunately, many SQ indicators unnecessarily duplicate their input parameters, even if I develop only symmetric strategies (Look at the other pictures). For example, Keltner Channel or Bolinger Bands. This makes the development of strategies really complicated. 

     

    Remember, our goal is to create simple strategies with few optimization parameters! I hope you understand the problem and simplify the process of optimization.

     

    Thank you very much!

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    Automated Trading, PA & Renko systems, PC - i7-5820k, 480 GB SSD, 16 GB RAM 

    #144734
    Moderator
    2349 Posts

    Hello,

     

    thanks for your input. We will consider this. We are working on better optimization logic and other improvements in StrategyQuant 4. Some of your thoughts (like symmetry) has already been raised in past and we are implementing them

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