Optimizer Enhancements

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  • #82235
    cosmos2019
    Participant

    LI team, would it be possible to make some enhancements to the QuantTrader optimizer to allow multiple time frames to be analyzed at the same time? It seems like the best practice when optimizing is to find the parameters that work best across different time frames. This is often a laborious task running and rerunning the optimizer for different periods. Could you enhance it so the user can specify multiple (up to 5) time frames in the optimizer window and then display the results as a composite or average of all the time frames? Also allow the parameters to be saved and defaulted on the next run. And provide a toggle to show the results by CAGR or Sharpe Ratio. Thank you for your consideration and other ideas you may have for improvement.

    #82262

    This would be quite complicated to implement and anyway I don’t think it is good to select specific periods. For example optimizing only for a bull period like 2009-2021 will inevitably give you a strong bias for equity. You could do some tests with our walk forward feature (attention buggy beta version) which will for example change the volatility attenuator or the lookback period over time going forward. But as we found this will not really increase performance and mor or less you will always get about the same settings as when optimizing for the maximum period.

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