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OmniTrader 2019 General Discussion
Exploiting Global Optimization
Last Activity 9/15/2019 8:33 PM
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Joined: 12/30/2003
Location: Kensington

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Subject : Exploiting Global Optimization
Posted : 12/6/2018 9:52 AM
Post #45774

It would be useful to get a optimization period by optimization period report of the parameters used to compute that period's results. Note that the parameters used in the current period are the ones deemed best in the previous optimization period. In some sense, this optimization period's parameters are a the best way to exploit the "Market State" of the last optimization period.

It seems likely that a good definition of market state would correlate with a particular set of parameters, and these parameters sets that would recur any time that market state was reentered. It may be we can find simple definitions of that market state that can be recognized quickly, certainly faster than quarterly, perhaps faster that monthly. Market states that tell us what parameter set we should be using.

Market states derived this way could be used to speed processing in OT and VT, and more importantly, select the appropriate market state bound version of a root strategy in OmniVest and OmniFunds, server based programs that cannot run optimization. But they could choose among versions of a strategy optimized for particular market states. What is a market state and how many meaningful ones there are would likely vary among different root strategies, depending on their systems and trade plan hold times. But it would always be a fixed computation for the strategy root, and a chooser based on the result.

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