TradeStation Help

Optimizing Strategies on a Chart

   Activate a Chart Analysis window containing one or more strategies. Access using the menu bar Format > Strategies menu sequence and select the Strategies tab.

1. Select (highlight) the name of a strategy component to optimize and click Format. The Format Strategy [strategy name] dialog is displayed.
2. Click the Inputs tab. Select a numeric input value to optimize. For more information, see Editing Input Values for a Strategy.
3. Click Optimize. The Optimize dialog is displayed.

• In the Start box, enter the first value to test.
• In the Stop box, enter the last value to test.
• In the Increment box, enter the test increment.

The Increment is used to increase the value of the input, beginning at the start value and ending at the stop value. For instance, if your start value is 5, your stop value is 25, and your increment is 5, the optimization will test the values 5, 10, 15, 20, and 25.

For more information, see About Strategy Optimization and Optimize the Strategy.

4. Click OK when finished.

The Format Strategy - Inputs dialog displays the inputs along with the values to optimize. For example, an item in the Value column displaying 5..25:5 indicates that you are testing values from 5 to 25 in increments of 5.

5. Repeat the steps for each input that you want to optimize.
6. Click OK to close the Format Strategy dialog. The Format Analysis Techniques & Strategies dialog displays Optimization details for the strategies.
7. Select a different strategy you want optimized, and repeat the steps until all strategy inputs have been optimized.
8. Under Optimization Details, select the type and method to use:
   • Type - Select the desired optimization type for an optimized strategy.
     • Standard - Select Standard from the drop-down list when no Walk-Forward Analysis is required.
     • Walk-Forward - Select Walk-Forward from the drop-down list to use the TradeStation Walk-Forward Optimizer (WFO) to optimize strategies using Walk-Forward Analysis (WFA). During a Walk-Forward Analysis, multiple walk-forward runs are performed where the performance on the Out-Of-Sample (unseen) data will be compared with the performance on the In-Sample (seen) data. The Walk-Forward Optimizer will apply different criteria to evaluate the consistency of the walk-forward optimization and, based on this analysis, it will provide an overall rating of the system's robustness.
     • Walk-Forward Test Name - Displayed only if Walk-Forward has been selected. Enter a name to be associated with the walk-forward test data to be saved for use by the Walk-Forward Optimizer.
   5. Method - Select the desired optimization method in how the strategy is calculated.
      5. Exhaustive - Select Exhaustive for a comprehensive method that calculates all possible combinations of all strategy input parameters within the range specified. Since all parameter combinations are calculated, the exhaustive method guarantees that the algorithm finds the optimal set of strategy parameters of those compared.
      6. Genetic - Select Genetic for an optimization method based on an evolutionary algorithm. Genetic optimizations are preferable when the exhaustive method is too time consuming or processing intensive. Running optimizations in shorter times, will also allow you to select wider range of parameters in your strategy optimizations. Genetic optimizations do not calculate all possible strategy parameter combinations but will use an algorithm based on natural selection that will arrive to an answer that is statistically significant.
• Advanced Settings - Customizes the settings for the optimized strategy. The Advanced Settings dialog is displayed.
• Save results to file - Check this setting to save the selected optimization strategy results. Click Browse to navigate to the desired location to save your file.

 For more information using genetic optimization settings and concepts in genetic algorithms, see Advanced Settings and Genetic Optimization.

9. Optional. Click Advanced to modify the Advanced Optimization Options available before the optimization takes place.
10. Optional. Place a check mark in Save results to file to save the selected optimization strategy results. Click Browse to navigate to the desired location to save your file.
11. Optional. Click Save Analysis Group to save an analysis group for future use.
    
    TradeStation generates a report on the optimized strategy.

When the optimization is complete, TradeStation will replot your chart automatically with the optimized strategy inputs.

You can cancel the optimization once it is running by clicking the Abortbutton. The optimization process is halted and the Abort Optimization window is displayed. You can choose to display the best solution so far or restore the original inputs before the optimization began. The chart reloads and the Strategy Optimization Report contains the results of the tests run up to the point you canceled the process.

At this point, you may want to view the resulting Strategy Optimization Report, use the View > Strategy Optimization Report menu sequence. To view the new Strategy Performance Report, use the View > Strategy Performance Report menu sequence.