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Fast Brute-Force Optimization Software

  • #1
  • First Post: Nov 25, 2017 4:41pm Nov 25, 2017 4:41pm
Hello Traders!

Which backtesting software produces fast brute-force optimization (run all possible parameter combinations)?

Thanks
  • #2
  • Nov 25, 2017 8:06pm Nov 25, 2017 8:06pm
Quoting sideburn
Hello Traders! Which backtesting software produces fast brute-force optimization (run all possible parameter combinations)? Thanks
MQL5 using their distributed computing network
  • #3
  • Nov 26, 2017 4:20pm Nov 26, 2017 4:20pm
Quote
MQL5 using their distributed computing network
Oooo...it almost has everything that I needed but MQL5 doesn't support trading 1 unit step (0.00001 Lot). For example, Oanda allows to trade 1 unit step and most MT4/5 allows to trade 1000 unit step (0.01 Lot).
  • #4
  • Nov 27, 2017 12:29am Nov 27, 2017 12:29am
Quoting sideburn
{quote} Oooo...it almost has everything that I needed but MQL5 doesn't support trading 1 unit step (0.00001 Lot). For example, Oanda allows to trade 1 unit step and most MT4/5 allows to trade 1000 unit step (0.01 Lot).
If you're testing then it does matter if you cannot trade single units
  • #5
  • Nov 27, 2017 12:58am Nov 27, 2017 12:58am
Quoting Nicholishen
{quote} If you're testing then it does matter if you cannot trade single units
Yes, it does. If I want to trade 12,345 units, MT4 only allows to trade 12,000 units or 13,000 units but not in between.
  • #6
  • Nov 27, 2017 1:48pm Nov 27, 2017 1:48pm
Quoting sideburn
{quote} Yes, it does. If I want to trade 12,345 units, MT4 only allows to trade 12,000 units or 13,000 units but not in between.
12,345 units is not a strategy, it is money management. Test and find your strategy and then you can apply MM in excel after the fact.

Also, the only reason I have ever seen to get finite position sizes down to the single unit involve some sort of triangular hedging, and if that's where you are heading with this then turn back now, those strategies (arb) will never work on a retail broker.
  • #7
  • Nov 27, 2017 4:50pm Nov 27, 2017 4:50pm
May I ask a noob question? How is optimization different from curve-fitting? OR is there a Optimized strategy (any strategy) that has proven to work the exact same in backtesting AND forward testing?

Is there a backtester available to handle my multipair/multitimeframe strategies?
Staying in my lane...
  • #8
  • Nov 27, 2017 5:05pm Nov 27, 2017 5:05pm
Quoting Nicholishen
{quote} 12,345 units is not a strategy, it is money management. Test and find your strategy and then you can apply MM in excel after the fact. Also, the only reason I have ever seen to get finite position sizes down to the single unit involve some sort of triangular hedging, and if that's where you are heading with this then turn back now, those strategies (arb) will never work on a retail broker.
Thanks for giving me an idea! To separate money management from optimization so that there’s less number of combinations.
  • #9
  • Last Post: Nov 27, 2017 5:09pm Nov 27, 2017 5:09pm
Quoting VEEFX
May I ask a noob question? How is optimization different from curve-fitting? OR is there a Optimized strategy (any strategy) that has proven to work the exact same in backtesting AND forward testing? Is there a backtester available to handle my multipair/multitimeframe strategies?
Optimization’s weakness is curve fitting. One way to avoid that is to do forward walk analysis. MT4 doesn’t do forward walk built in but you can do it manually or maybe thru EA. MT5 does multipair and forward walk analysis I believe. Not sure about multitimeframe.
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