Most important variables to a strategy

Strategies might be attractive on the surface but fail moving forward. Why? Here we discuss the qualities of effective trading strategies, and the many traps one should avoid.

Most important variables to a strategy

Postby rjay » Sun Sep 11, 2011 12:06 pm

Is there an easy way to determine which parts of a strategy are the most relevant to it's success ? For example, if you had a MA crossover strategy the length of the two MA's may be far more important than whether they are SMA or EMA ... or, of course, vice-versa. Consequently I would want to concentrate optimization only on the most important few variables.

Is there an easy way of determining where my focus should be ?
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Re: Most important variables to a strategy

Postby Overload » Mon Sep 12, 2011 8:18 am

There isn't anything built-in to test this, but I believe it should be pretty easy to do. Just make a number of copies of your Strategy, and document out a different trading rule with each copy. By running the different versions of the Strategy, you should be able to identify how effective each of the rules are.

As a tip, this is a good place to use the "Strategy Groups" option in the Strategy Setups. Just enter the same name in the "Strategy Group 1" field for each of your Strategy copies. Then, when you open the Display > Combinations menu to look at your results, you can select Strategy Groups and display just that group of Strategy copies.

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