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Re: Montecarlo statistical mode parameter optimization
[Re: AndrewAMD]
#475489
12/14/18 13:14
12/14/18 13:14
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Joined: Aug 2017
Posts: 102 Spain
Brax
OP
Member
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OP
Member
Joined: Aug 2017
Posts: 102
Spain
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Of course. This is where i first saw this idea mentioned at the end of the post (spanish article): https://www.rankia.com/blog/oscar-cagigas/4101414-cual-mejor-ratio-optimizacionIn short, the author performs a comparison of different ratios for obtaining system parameters, and he concludes that in the second part, he will apply the statistical mode of a given ratio over the whole montecarlo generated curves. This is another article with a more detailed explanation, adding some MQ5 code: https://www.mql5.com/en/articles/4347Looking forward for your reply. Bye.
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Re: Montecarlo statistical mode parameter optimization
[Re: Brax]
#475495
12/15/18 14:18
12/15/18 14:18
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Joined: Feb 2017
Posts: 1,725 Chicago
AndrewAMD
Serious User
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Serious User
Joined: Feb 2017
Posts: 1,725
Chicago
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I have some thoughts, in no particular order:
* The first article does not talk about monte carlo at all, from what I can tell. * I wouldn't know what the "best" optimization method is, I simply use the most practical ones. Currently, this would be the default Zorro optimization method. * Perhaps the method described in the second article can be a useful technique, it might be worthy of experimentation. * One other optimization method I like is described in Trading Systems by Jaekle and Tomasini. When they initially design a trading system, they use a dual-parameter brute force optimization to produce various 3D plots, in order to identify stable profitable parameter regions. This helps with the final design of the script. I have been able to produce such 3D plots by exporting trade data CSV's and making 3d plots with the plotly R package. (Anyways, this has nothing to do with statistics.)
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