Strategy optimization tips

Another suggestion - try to optimize as little as possible. Optimization using historical data often leads one to expect unrealistic returns that cannot be replicated in real trading. Try to use few parameters and apply the same technique across a number of different markets. This will improve your chances of long-run success, by reducing the pitfalls of over-optimization.

From Princples of Good Concept Design - Essentials of building a trading strategy - https://www.tradestation.com/Discussions/Topic.aspx?Topic_ID=4012

Strategy Optimization - https://www.tradestation.com/Discussions/Topic.aspx?Topic_ID=65253

What is Optimization? what can be optimized?
Avoiding the over-optimization trap

TradeStation Strategy FAQ List

Programs

Automated a list of strategy optimizations with tradestation - multiple symbols with multiple time frames - Backtesting Sequence Automation Manager - Forum
- http://www.profsoftware.com
  - Automatates any backtesting sequence - such as (ER2,)ES, (YM,)NQ... for 5,10,15,20 minute intervals.
  - Save detailed info in log file and CSV export (Set SaveMHT to YES).
  - Can continue at aborted step in the backtesting sequence - click on the red stop button.
  - Shows the current backtesting status.
Grail Genetic Walkforward Optimizer Forum posting
- The Grail Genetic Optimizer optimizes complex strategies in a fraction of the time that any brute force search would require and it is inherently local optima-resistent.
- The Grail Walk-forward optimizer automates and summarizes repeated, OOS (out-of-sample) strategy testing, the most widely-accepted method for confirming probable future performance.
- The Computer-Assisted Strategy Builder uses state-of-the-art genetic, neural and heuristic technology to discover, prototype and generate open EL code for new strategies.

Portfolio testing

creating charts from a radar screen: forum

Currently, there are workaround methods to streamline the handling of multiple stocks. One method that may interest you is to symbol link a RadarScreen instance to a chart. This "production" chart runs an indicator that issues Command Line commands to create new charts with the desired strategies included. Here is a basic example of indicator code that can be used to produce charts for you:

{ For a "Production" Chart } 
{ Need to enable RunCommand for the Strategy and, if confirmation is to be 
off, make the adjustment where inserted in a chart } 
{ Break symbol linking and disable RunCommand to stop chart production } 
 
inputs: 
	NoChartSymbol( "$TICK" ), { a symbol that doesn't produce a chart } 
	EntryStrategy( "MovAvg Cross LE" ), 
	ExitStrategy( "MovAvg Cross LX" ) ; 
 
variables: 
	intrabarpersist Once( Symbol <> NoChartSymbol ), 
	str( "" ) ; 
 
{ Issue Command Line Macro } 
if LastBarOnChart and Once then 
	begin 
	Once = False ; 
	str = ".nc;;15 min;;" + Symbol + ";;.ist " + EntryStrategy + ";;.ist " 
		+ ExitStrategy ; 
	RunCommand( str ) ; 
	end ; 
 
Plot1( 0, "Production" ) ;

Strategy optimization tips

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