On-line parameter optimization for automated Strategies
Most strategies have parameters to set and depending on the situation, a certain parameter value does best. The result is that most strategies work for a while and then aren't valid anymore. But the entire strategy might not be obsolete, the parameters just need fine-tunning.
Here I’ll show you a way to optimize the parameters while the strategy is running and I compare it to a strategy where the parameters are set once and for all at the beginning of the test period with classical optimization over a period in the past.
When is on-line parameter optimization applicable

Just for the sake of having a real-life example, the method is applied to an automated strategy which I talked about in my previous article this month. However, the method is applicable to any strategy with optimizable parameters. The strategy in question gives a probability that the next movement will be positive or negative:
If you have a strategy that works in the way of the drawing above, you’ll soon notice that having a position open at all times isn’t
the best idea. A better plan might be to only open a position when the probability of a rise is either v…
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