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Historical Tester - Optimization - reports
 Post subject: Historical Tester - Optimization - reports Post rating: 0   New post Posted: Wed 15 Oct, 2014, 10:26 

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Joined: Mon 14 Nov, 2011, 05:16
Posts: 33
Location: PhilippinesPhilippines
Hi,

I am using the historical tester optimization extensively. This is an incredibly powerful tool!

I run a very large number of permutations of strategies, optimizing on many parameters. I look for pools of positive results within these hundreds/thousands of strategy runs to identify sustainable parameter ranges and to minimize the risk of data fitting.

1. While it is helpful that reports are available for the individual strategy/parameters, it would be great if the full optimization window (parameters, results i.e. PL and profit factor) can be exported in csv (excel) format for further analysis and processing.

2. Could you consider offering additional optimization outputs, e.g. drawdown, variance, VaR, etc as selectables?

3. Clearly, running hundreds/thousands of parallel strategies in the optimizer is very CPU intensive. Can you consider designing the optimizer to utilize multiple CPU cores to reduce the run time?

Thanks for your exceptional backtester (!) and for considering above


 
 Post subject: Re: Historical Tester - Optimization - reports Post rating: 0   New post Posted: Mon 20 Oct, 2014, 10:53 
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Joined: Fri 31 Aug, 2007, 09:17
Posts: 6139
Historical Tester is not part of JForex API, but part of the platform.

See this topic in corresponding forum section: viewtopic.php?f=128&t=51791


 

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