Most trading strategies are non-differentiable, but they have a lot of parameters that need to be tuned. Most simple hyper parameters searches take too much time, so research is required for viable alternatives.
Hi, we wrote a simple grid search that runs backtests in parallel, using a cached feed in order to accelerate the search. It's not optimized in any way regarding following a path of better results (like running some tree optimized search - don't know if it makes any sense...)
If you would like to refer to this comment somewhere else in this project, copy and paste the following link:
Originally posted by: mpaoletta
Hi, we wrote a simple grid search that runs backtests in parallel, using a cached feed in order to accelerate the search. It's not optimized in any way regarding following a path of better results (like running some tree optimized search - don't know if it makes any sense...)
Originally posted by: jbaron
Might be a good starting point. FYI, my ideal end goal would look something like this (not all for shorter term):
But right now I personally just write hard-coded nested loops, so any start will be an improvement on that ;)