mjj38
- ago
Currently you have the ability to exclude each indicator individually, but could you add the ability to reverse the approach? I would like the ability to JUST include certain indicators. It's difficult to accomplish because there is no way to exclude everything so I have to exclude each one individually. Also there is no way to save a given search configuration.

To summarize:
- I want to reduce the search space by as much as possible
- Allow the ability to reverse the indicator search space logic: i.e. included indicators instead of excluded indicators.
- Allow for definition of certain indicator combinations / specifications ( i.e. SMA(5, 10, 20, 50, etc) )
- Allow the ability to require certain indicator conditions (i.e. sma(20 ) > sma(50)). This allows the user to look for strategies that work well in a specific environment as in the current market trading environment. It is also useful for finding strategies for a given regime (low volatility environment) or find a useful filter for an established strategy.
- Add the ability to save a search configuration (i.e. included/excluded indicators, filters, dataset, etc.)
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- ago
#1
I looked at this idea as it's rising to the top and it got me thinking that the current design (select an Indicator from a single-item list and send it to the list of exclusions) could be replaced with a multi-select combo check box. This way it would be more useful. If the indicator list had checkboxes we could get rid of the exclusion list and have convenient options for multiple selection / Select All.

Implementing a new design like this would also come in handy to satisfy another feature request:

https://www.wealth-lab.com/Discussion/Optimizer-Settings-Multi-select-enable-disable-6657
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mjj38
- ago
#2
Yes and triple yes.

The other thing that would be useful is:

Example: Say you have the Close > SMA condition selected with parameter combinations from 5 ... 20 by 5

You might want to a) force that condition to be included so you want to add a require inclusion option, b) if you are requiring to include it having the option to include ONLY 1 iteration of that condition. Otherwise it will try to include all parameter combinations such as (Close > SMA5 and Close > SMA10 and etc).

Lastly add a parameter for how many conditions to search for. Right now there isn't any limit and the more degrees of freedom you have the more likely that the solution is curve fit.

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mjj38
- ago
#3
When and if you guys decide to implement this can you also add breaking up the data periods to in-sample and out-of-sample so you can use the filter sets to automatically filter out strategies that fail during their OOS period?
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- ago
#4
That 'multi-select combo check box' mentioned in Post #1 could also be reused to satisfy another feature request:

https://www.wealth-lab.com/Discussion/Optimizer-Settings-Multi-select-enable-disable-6657
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