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Hi,
What do you expect to gain by optimizing your trade management to random noise? Unless you plan to take random entries and exits in live trading, I don't see the benefit of searching for optimal values under those conditions.
More practical might be to optimize your system based on a perceived "edge", then compare performance based on random values against performance based on the optimized values, to see if the optimized values actually perform any better than the random ones. In other words, is there really an edge, or was it just a fluke.
For example, keeping all else the same, compare your strategy using your optimized entry against the same strategy using a random entry. If the optimized entry does not perform significantly better than the random one, then you might conclude that your optimized entry is of no more value than random noise and might benefit from further analysis.
The same can be done for your exits and position size/money management. Of the three, position size/money management will likely have the biggest impact on performance.
Mike
--- In amibroker@xxxxxxxxxxxxxxx, "Yofa" <jtoth100@xxx> wrote:
>
> Hi All,
>
> I'm trying to improve my optimization method. So I divided my trading system into parts: entry logic, trade management logic (trailing, profit target, volatility exit, etc ), filters, etc.
>
> I created a random entry system, that uses the same trade management logic as my trading system.
> With random entries I optimized the parameters of the trade management logic. I also try to improve filters the same way.
>
> My questions:
> Is there anyone who uses similar technic for optimization?
> Is there anyone how uses similar approach to validate the trading system and its parameters?
> Is it reasonable optimization method?
>
> Any opinion or experiance appreciated.
>
> Regards,
>
> Y
>
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