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Forums>StrategyQuant>General Discussion>Average optimization results from multiple markets

  • #267248 |
    huangwh88
    Customer
    127 Posts

    Hi,

    I am optimizing a strategy over multiple markets. I need to know the average market performance for each strategy parameter.

    When sorting the parameter column in the databank, the parameters are not correctly sorted in ascending/descending order. Is there a fix?

    #267296
    Customer
    68 Posts

    Not exactly an average but if I understand what your asking then this might help:
    Optimize the strategy on a single market and save all the iterations and take all the resulting iterations and drop them in to retester. Test all the iterations with crosschecks of all the markets you want to check. Then you can sort by portfolio stats.

    #267301
    huangwh88
    Customer
    127 Posts

    Not exactly an average but if I understand what your asking then this might help: Optimize the strategy on a single market and save all the iterations and take all the resulting iterations and drop them in to retester. Test all the iterations with crosschecks of all the markets you want to check. Then you can sort by portfolio stats.

    Thanks bendx, that’s another plausible method.

    I realize the sorting problem only occurs when dealing with parameters with different numbers of digits. If you optimize from 10-99, you’re good, but if you include <10 or >100, the sorting gets messed up

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