Optimizing Entry/Exit Systems

The parameters to entry/exit systems can be optimized to produce more effective signals. By default, TradingSolutions automatically optimizes any new entry/exit system fields when they are created.

Defining Entry/Exit Systems for Optimization

Entry/exit systems can be defined or modified using the Modify Entry/Exit System Dialog. From the Input and Output Values page, the characteristics of the inputs to the system can be specified by selecting an input and pressing the Edit… button. This displays the Modify Input Dialog.

By default, most numeric inputs are set to be optimized. This option can be toggled using the Include this input during optimization setting. The default values available to try during optimization are set using the Optimization Range controls. These values default to the settings used in the first underlying function where this input was used.

:    Example: If a Period input is created for a moving average function to the entry/exit system, this input will default to the characteristics of the moving average period.

&  For more information on defining entry/exit systems, see Writing Your Own Entry/Exit Systems.

Optimizing New Entry/Exit System Fields

Entry/exit system fields are created using the Apply an Entry/Exit System Wizard. The inputs to the entry/exit system are specified on the Select Inputs page.

Inputs which are defined to use constant values can be set to be optimized by selecting Include this value in optimization. The range of values available during optimization are set using the Range controls.

Optimization of the selected constant inputs will only occur if the Optimize Inputs Now control is selected. Optimization settings, such as which trading style and optimization data to use, can be viewed and modified by pressing the Optimization Options… button, which will display the Signal Optimization Settings Dialog.

Ä    Note: The value used for the fitness calculation is defined in the trading style specified to be used for simulated trading.

Ä    Note: If no inputs are defined as constant values or no constant values are included in optimization, optimization will not be available.

Optimizing Existing Entry/Exit System Fields

Entry/exit system fields which have already been created can be optimized (or re-optimized) from the Modify Field Dialog: Entry/Exit System Inputs page. Selecting the Optimize Inputs Now control will cause the entry/exit system to be optimized from its current settings when the OK button is pressed. Fields which are defined for an entire group can be re-optimized by unchecking and re-checking this control.

&  For help with general optimization principles, see Understanding Genetic Optimization.

&  For help with entry/exit systems, see Using Entry/Exit Systems to Generate Signals.