Optimisation questions - Trading Software

Optimisation questions

Trading Software
2010-06-09 06:03:57

Hi,

I have 2 questions here about optimisation:

Here is what I am trying to do:

- I have a trading system I would like to test over a large number of symbols (lots of symbols, 100s - 1000s)
- In my money management script there is a variable symIndex.
- I use the Data.GetSymbols() to get the list of symbols for the strategy, and index into it via symIndex

In this manner I am able to run the simulation on a large number of symbols automatically by optimizing on symIndex. However, the results of the optimization
only displays symIndex, which is not very useful. I would like to display another column, which is the 'symbol' column ( = Data.GetSymbols()[ symIndex ] ).

Question 1:
The simulation report shows a number of columns (Name, A. Return, Drawdown etc). Is it possible to display custom columns?

Question 2:
I notice when I try the technique above that the simulation stops optimizing after 500 iterations. Is there a reason for this limit?
I.e I had Optimize From: 0, To: 1986, increment: 1. Optimization report only generated for 1 - 500.

cheers.

P.S You have been great help and very responsive. Keep up the great work!

QuantShare
2010-06-09 14:28:17

Best Answer

It is possible to add custom columns using Metrics (Metrics and Create a metric) in the simulator form.
We will add the possibility to add custom columns using the money management script.

We will also disable this 500 iterations limitation.

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