Hello to all experts and practitioners,
I have tried searching a lot around what are best practices and guidelines for optimization process. However I did not find a satisfactory content about it. Hence posting it here to community for their thoughts and suggestions.
Amibroker is a powerful tool and I particularly like Optimization and walk-forward features. Here I have some queries. Just to give a context I am intraday trader and typically work on 15 minutes or smaller time frames only for intraday trades in equity and commodities.
What is ideal frequency for optimization and re-optimization process? (Should it be done weekly, ,biweekly,monthly?)
-- I have observed that over a period of time as the market cycle changes even slightly the outcome (Profit and winrate ) changes. In a highly volatile scenario like the one currently I have observed that results fluctuate very often drastically.
What are the key things to look out for while optimization?
- After optimization we typically get 100s of optimal combinations how do we choose one? What is important from intraday stand point to get consistent results inline with optimization outcome?
- For example Ulcer Perf. Index,Sharpe Ratio,K-Ratio, % of winners, Avg.Profit/loss, etc or a combination of this?
- What is the ideal "in-sample data" duration?
- I have observed that If optimization is carried on a larger in-sample data/longer duration the results are not that great. Even the outcome when strategy is deployed for trading or out of sample walk-forward are also not good and consistent. From Intraday perspective how far back one should go for in-sample data duration?
(a week, month, contract duration or more than that?)
- When is re-optimization warranted?
- Say I have a strategy with 80% win rate as per optimization outcome. As long as strategy is performing around + or - 5% of this win rate are we fine to continue without the need of optimization? or something else? In short how to identify that the parameter values optimized are no longer optimal for this strategy for this market/instrument and need re-optimization?
I understand that these questions are not related to AFL programming or just amibroker per say however for anyone who has recently started using amibroker/optimization feature will likely have same dilemma and questions hence posting it here for experts comments and guidelines.