I would like to optimize variable(s) when using the signal tester. Is that possible? It would be nice to be able to know how the variables differ from various asset classes/securities.
Thanks, Jamie
Hi Jamie,
We have this planned for version 2 of our testers. I hope for work to start on that within the next couple months.
My issue with Optimization is that it should not be used without a measure of robustness. eg if a SMA 10 is the best, then I would expect SMA 9 & 11 to be ok too. If 10 is wildly better than all others, that sounds to me like it caught a lucky trade which has nothing to do with a 10 period being better than anything else.
I do see the place for optimization but I’m only willing to put it in so long as I can provide a measure of robustness to the result. Something like an inverse of the expectancy from each test. The other thought is smoothness of all tests.
Anyway, that is a long answer to say that it is coming, but not quickly.
All the best
Mathew