Hi, does anyone have experience of using different Optimization targets for a non-walk forward optimization?
I use a lot of optimization parameters, and have been using "CAR" as a target. I use CMAE as an optimization engine.
I'd be interested in experiences people have with using other parameters.
Thanks,
Alex
It really depends on what your goal is, as to what optimization target you use.
If your goal is just to maximize profit and you don't care about the risk, then CAR might be fine. For most traders through, they want to achieve the most amount of return for a given unit of risk. So that means finding a set of parameters that maximize risk-adjusted returns. Some examples of metrics that measure this are CAR/MDD, Sharpe Ratio, K-Ratio etc
As with all optimization though, don't forget it is a powerful tool that can lead you astray. In particular, data-mining bias is a huge pitfall. So do all you can to avoid it, lest you ruin your chances of success in the markets.