Strategy Optimization

Strategies can be optimized for market conditions using data in the Strategy Tester Panel and the Trades on Chart feature.

Optimization Goals

Generally, the aim of optimization is to increase Net Profit, Profit Factor, and Average Trade while limiting Max Drawdown and Gross Loss. An Equity line that increases smoothly and exceeds Buy & Hold Equity is desirable.

A trade-off between boosting Net Profit and reducing Max Drawdown is often required. The balance will depend on individual Risk Tolerance and how effectively Risk Management can be applied to a strategy to limit potential losses.

The 'risk performance' of a strategy is measured using the Sharp Ratio and Sortino Ratio. Higher values for both represent lower risk relative to expected returns. Consequently, Improving Risk Performance is a primary goal of Strategy Optimisation.

Effective application of Risk Management elements such as Stop Loss, Trailing Stop Loss, Scaled Exits, and Take Profit is critical to Improving Risk Performance of a strategy. Typically, such elements are incorporated once algorithms have been optimized to market conditions.

Once a strategy has been optimized and Risk Performance established, decisions about Leverage and Positon Size can be made using the Position Calculator.

Degree of Optimization

The extent of Strategy Optimization required depends on the intended use. For manual trading in conjunction with other indicators, a quick optimization may suffice. For automated bot trading, thorough optimization is advisable. A quick optimization may take minutes, while a complex strategy may require many hours of backtesting.

The Lendal Browser Extension can be used to back up strategies so they can be developed over time or adapted to changing market conditions.

Optimization Sequence

The optimization process will vary depending on multiple factors including:

• Prior optimization in the Lendal Pro Trader

• Market conditions

• Trading strategy

• Configuration complexity

• Risk management requirements

• Indicator combinations

• Experience

The following optimization sequence is general and steps may be varied or omitted in some cases. Ultimately, users should develop their own workflow for creating and optimizing strategies according to requirements.

Using the Lendal Browser Extension to regularly back up strategies during optimization is recommended.

1. Load the desired asset/timeframe/exchange on the TradingView chart.

2. Load the Lendal Pro Tester Indicator.

3. Import a configuration or use default settings.

4. Isolate a Faction for optimization.
5. Follow the steps for Optimizing Isolated Factions.
6. Systematically optimize Key Faction Settings.
7. Examine Overview, Performance Summary, List of Trades, and Trades on Chart data to refine .optimization to increase Net Profit and reduce Max Drawdown.
8. Repeat steps 5, 6, and 7 for other Factions that contribute to the strategy.

9. Combine contributing factions as desired using the Confluence or Super Trends functions.
10. Examine Overview, Performance Summary, List of Trades, and Trades on Chart data to optimize overall strategy. Aim to maximize Net Profit and reduce Max Drawdown.
11. Apply global Volume Control, Price Control, Volatility, or Position settings to increase Net Profit and reduce Max Drawdown
12. Apply Risk Management settings to minimize losses on losing trades and secure profit on winning trades.
13. Focus on Improving Risk Performance by boosting the Sharp Ratio of your strategy.
14. Once Strategy is optimized, use the Position Calculator to make decisions about Leverage and Position Size. Decisions should be based on strategy Risk Performance and individual Risk Tolerance.