Strategy Optimzation
Algorithms within a strategy can be optimized to market conditions using data in the Calculations Table.
Last updated
Algorithms within a strategy can be optimized to market conditions using data in the Calculations Table.
Last updated
Risk management elements are not included in backtests done in the Pro Trader. See the Lendal Pro Tester Comparision section for details on potimizing strategies that include Stop Loss, Trailbacktesting strategies that i
Each faction can be used in isolation or in confluence with other factions. If multiple factions are used in a strategy, each faction should be isolated and optimized individually before backtesting the complete strategy.
To isolate a faction, follow these steps:
Select your desired primary Faction e.g. Vikings
Uncheck all boxes in the Confluence section
Uncheck all faction confirmation boxes in the Super Trends section.
The Vikings faction has now been isolated and is ready to be optimized to market conditions. In this state, settings within the Mongols, Rangers, Spartans, and Wizards sections will have no effect on trend signals or backtest data displayed in the Calculations Table. However, they may still operate in the background or interact with global settings.
Global settings in the Confirmation Control, Position, Volume Control, Price Control, and Volatility sections will not be affected by the steps above.
Data from the backtester built into the Pro Trader is displayed in the Calculations Table. This data can be used to optimize a faction for current market conditions. Optimization is achieved by altering the configuration settings of a faction until Net Gain is maximized and Drawdown is minimized.
Win Score % can be also used as a measure of optimization, although it is important to note that a strategy with a low Win Score % can still be traded profitably if appropriate risk management is used. Implementing Stop Loss or Trailing Stop Loss effectively can minimize drawdown on losing trades, and Take Profit or Scaled Exit strategies can lock in profit on winning trades. Refer to the Pro Tester Comparison section to learn about including risk management elements in backtested profitability calculations.
If multiple factions are contributing to a strategy, each faction should be isolated and optimized individually before backtesting the complete strategy. The procedure for Isolating Factions is outlined in the Factions section.
It is best to optimize each faction contributing to a strategy individually before combining them using the Confluence or Super Trend features in the Pro Trader.
For example, to use Rangers as a Super Trend confirmation with Vikings, implement the following steps:
Load Rangers as the primary Faction.
Ensure all boxes in the Confluence and Super Trends sections are unchecked
Optimize Rangers settings until the Calculations Table shows maximum NET Gain and minimal account Drawdown.
Switch the primary Faction to Vikings.
Optimize Vikings settings until the Calculations Table shows maximum NET gain and minimal account Drawdown.
Select Rangers Confirmation in the Super Trends settings.