Table of Contents
Get the best results imaginable on your strategies by letting our algorithms optimise their parameters.
List of Optimisation Parameters #
| Name | Values | Default | Description |
|---|---|---|---|
| Type | Minimize Brut, Brut, SHGO, Minimize, Differential. | minimize_brut | Selection of the type of optimisation mechanism. Minimize is a modification of Powell’s method. It performs sequential one-dimensional minimizations along each vector of the directions set, which is updated at each iteration of the main minimization loop. Brut try to calculate all possible solutions and decide afterwards which one is the best. Minimize Brut is a modification of the Brut by Blockunity. SHGO algorithm is a general purpose global optimisation algorithm based on applications of simplicial integral homology and combinatorial topology. Differential optimizes a problem by iteratively trying to improve a candidate solution with regard to a given measure of quality. |
| Random Percent Brut | 0 to 1 | 0.3 | Defines the percentage of randomness injected into the optimization mechanism. The lower the value (tends to 0), the deeper but slower the optimisation will be. The higher the value (tends to 1), the more superficial but fast the optimisation will be. |
| Sorted By | Sortino, Omega, Calmar, Max Drawdown, Sharpe, Return/Percent, Stability, Tail. | Omega | Choose according to which parameter the optimisation should be done. Example: if you chose Max Drawdown, our algorithms will optimise the parameters in order to limit periodical loss of the strategy. Omega is chosen by default as it provides a balanced Risk/Reward. |
| Min | Can be set as desired but min and max values depend on selected setting. | Default depend on selected setting. | Start value of the optimisation range. |
| Max | Can be set as desired but min and max values depend on selected setting. | Default depend on selected setting. | End value of the optimisation range. |
| Step | Can be set as desired. Subject to limits for each of the indicators. An error message is displayed if the limits are not respected. | Default depend on selected setting. | Step between the start and end of the optimisation range. |
Tutorial #
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