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Archived Frequently Asked Questions
What is optimization?
Last Activity 11/28/2017 3:25 PM
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Barry Cohen

Posts: 5548

Joined: 1/19/2004

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Subject : What is optimization?
Posted : 12/10/2004 4:40 PM
Post #4208

Q: What is optimization?


When optimization occurs OmniTrader will retest all the systems for each symbol and select the top performers. For example, you have a symbol IBM in your focus list with the Default strategy selected. The Default strategy gets its analysis from 59 different systems each with its own set of parameters. Each time optimization occurs, all 59 systems get tested again for IBM, and OmniTrader picks out the 6 systems(Default strategy uses 6) that had the best results. IBM will then continue to use those 6 systems whenever you run an analysis until re-optimization occurs.

When re-optimization occurs a new backtest period begins. You should always know when your backtest period begins and ends.

You can see the last time optimization was done in any chart by looking at the vertical hash mark line through your chart. (To make this visible in OT, click Chart Options/Chart & enable Mark the Backtest Period.) Although the hash mark line is actually a full rectangle enclosing your backtest period which you can view by expanding your chart period. The backtest period is the data that OmniTrader uses to analyze systems/strategies to produce signals. When data is optimized, that rectangle is moved to the right. So for the IBM example, when the data is optimized, it will add a certain amount of periods to the front(newest data) of the backtest period and drop the same amount of periods from the back(oldest data) of the backtest period. This will give OmniTrader a whole new set of data to analyze.

Since OmniTrader is now looking at a completely new set of data and possibly using new systems to determine its analysis, your signals will change. Please keep in mind 2 things. The more recent your backtest period is, the more accurate your signals will be. And the more you optimize, the more your signals will change. Now you can set the optimization to occur at Daily, Weekly, etc. boundaries as you see fit by clicking Edit/Trading Strategy/Test Settings tab.

[Edited by Barry Cohen on 6/13/2006 2:31 PM]

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