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Milton,
>Have not yet decided upon the following:-
>Best chart type (Minutes or Ticks)
>Best size of chart (60min,10min,or 600tick 100Tick)
>Best settings for the indicator
>
>Apart from the standard, has anyone used other Optimisation Tools (Add on or
>separate to TS2000i) that will allow me to plug in various combinations of
>above to somehow ultimately decide the best system,{Hopefully}
Try optimizing for expectancy. Others may recommend sharpe ratio.
Either way, these are unitless measures independent of net profit,
which is the typical optimization metric. Net profit isn't a valid
metric when dealing with different time frames or other settings. I
like expectancy score in that it tells you what you earn for every
dollar risked, and allows for side-by-side comparisons of different
systems.
They aren't available within TS itself (at least TS2000i, I don't
know about more recent versions).
I have an article http://unicorn.us.com/trading/expectancy.html in
which I state my opinion about expectancy vs Sharpe ratio. Bob
Fulks can give an eloquent argument for Sharpe ratio. Both are
useful; I just lean toward expectancy score.
I also have a function at http://unicorn.us.com/trading/el.html that
you can stick into your strategy, which outputs expectancy score to
an Excel-compatible file during an optimization, so you can see what
parameters achieved the highest score.
Another thing to try is an alternative platform which has more
sophisticated optimization aids, such as WealthLab.
--
,|___ Alex Matulich -- alex@xxxxxxxxxxxxxx
// +__> Director of Research and Development
// \
// __) Unicorn Research Corporation -- http://unicorn.us.com
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