We launched two new optimizing tools for automatically running simulations and ranking system performance test with permutations. Both tools are accessible under Tools->Optimize - BETA . You can also access the optimizer tools from a bulls-eye icon from simulations and ranking systems. The tools are in Beta release and are limited to a maximum of 10 permutations. We will have some documentation next week.
The Simulation optimizer allows permutations of the trading system, like buy rules, sell rules, etc. See the image below for an optimization study with permutations for the Buy rule with SecWeight and PEG. The sell rule also has permutations for different ranks levels (Rank < 90, Rank < 95, etc)
The ranking system optimizer allows you to run rank performance with different weights for the nodes/composite nodes.
A future tool will be added that will test different combination of factors for a ranking system.
There’s a lot here, and we will have more documentation soon. For the brave souls our there we hope it’s intuitive enough to try it.
Thanks Marco. This looks to be a wonderful additon. Explored it over weekend. When trying to input different weights for composites I was unable to get the rows to line up. After you have inputed the fourth row it won’t let you input a fift.
I’ve only run this tool once so far and it is FANTASTIC. In fact, my first run was just to set it to only vary the date ranges for a ranking system so I could see annual performance charts (used 52 week period with ten 52 week offsets). I used to do this series of test manually. Your new tool is a great time saver.
I can only imagine how useful it will be once I play with it some more to figure out how to do the permiations for settings.
Please pass the appreciation on to the programming team.
Working on hedge section of the simulation right now. Should have it available in the next couple of days.
Your second question, “Can you make all of the “current permutations” editable?”. Right now the starting setting for simulation permutations has to be the setting from the simulation that the study is based on.
So once hedging is working in the study, if you want to permutate a hedge buy rule you have to start the study with a simulation that has hedging enabled and has a current hedge buy rule.
Very exciting addition, thank you! Can I make the recommendation that you add annual turnover to the simulation output chart, as I believe this is an important component of strategy optimization. Thanks!
This is a great feature. Would it be possible to add a Performance Graph in addition to Annualized Returns for the ranking system optimization? Also, would it be possible for Download to download the data behind the graphs as it does in Ranking Performance?
