Programmatically running optimizations?
Author: mjj3
Creation Date: 2/6/2014 12:08 PM
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mjj3

#1
I know it isn't supported at this time but it is something other platforms are starting to offer. I find it useful for many situations such as:

- Running a series of brute force optimizations
- Automating the optimization of strategies
- Queuing strategy optimizations
- Filtering

Just throwing this out there to maybe add to the work-slate when you guys are bored ;-)
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Eugene

#2
Why not use AutoIT or similar macro tool? You can record or program a sequence of actions to automate sequential optimizations.
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mjj3

#3
AutoIT is fine for just kicking off a batch of optimizations, but it doesn't allow for the following:

a) I have my strategy development process somewhat automated. I start with a good concept then I look at various filters / additional conditions / regimes, etc. I have this series of tests coded up to run in a series of optimizations. After each step the program looks as the optimization results and makes logic decisions based on the results as to where to proceed from there. It also produces a report with the results and decision of each step it takes.

b) One such step is to look at the result of different stop combinations for a given strategy. I might have [x] number of stops and I want to look at the best 3 out of [x] stops. I prefer using a series of [3] stop combinations of brute force optimizations with logical assumptions rather then a large genetic optimizations of all the stops.

c) A couple of my strategies are self optimizing. Currently I have a LOT of custom code to make this work. Ideally I would like to leverage the platforms optimization capabilities rather than my custom code.

That's just a few of ideas of how I would utilize those capabilities.

Best
Mitch
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