Walking before you run with system optimization

摘要

This is the first installment of a series on the optimization of trading systems. In this series, we will discuss some of the issues that are involved with optimizing a system and overview three optimization strategies in use today. Optimization can be a tool for good or evil. Before system development software became available to the public in the pre-personal computer days, ideas for trading systems had to be hand-tested in the chart books to see if they were likely to work in real time. The amount of work involved in developing a trading system this way was problematic and required highly motivated individuals to follow through on the testing. Historically, this may explain why engineers often became system traders — they had keen analytical minds, expertise in computer programming and access to computers that could do the necessary number crunching.