Robpf Member Posts: 13 Joined: 10/11/2012 Location: Pittsburgh, PA  User Profile | I can't explain what happened yesterday. It is a very complex program and I suspect there are bugs that only appear after multiple runs. I think it is a good idea to just randomly restart the program. I am making some progress in lowering drawdowns. The single strategy approach allows you to see effects of individual changes in more granularity. I agree it is tedious. Since I am looking a long only trading for IRAs it is particularly challenging to limit drawdowns in down periods. My latest insight is to limit the number of trades and use ranking to select only the best. The total returns will be less but the return to drawdown improves. I am currently using only 1 long trade on the single strategy testing and getting better results and I suspect that even with multiple strategies a small number of trades will be optimal. I am not big on optimization but this is one area I will definitely optimize when I get there. | |
