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V.17:8 (373-377): System Optimization And Money Management by L. Zamansky, Ph.D., and M. Stolz
V.17:8 (373-377): System Optimization And Money Management by L. Zamansky, Ph.D., and M. Stolz
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System Optimization And
Money Management
Most traders focus on optimizing the trading system rules and ignore money management rules until after the system rules have been established. Heres why you should test both sets of rules simultaneously.
Modern charting and analysis software for traders is equipped with the ability to optimize inputs for a trading system. To optimize inputs, first, a system must be run for each combination of input values within the set limits and with a given setup. The result is a table that has for each set of input values a corresponding set of performance characteristics. Second, one set of values with the best performance is chosen. The best performance does not mean the highest net profit or minimum drawdown; it can be any combination of acceptable performance characteristics.
Most traders focus on optimizing the trading system rules and ignore money management rules until after the system rules have been established. Heres why you should test both sets of rules simultaneously.
Modern charting and analysis software for traders is equipped with the ability to optimize inputs for a trading system. To optimize inputs, first, a system must be run for each combination of input values within the set limits and with a given setup. The result is a table that has for each set of input values a corresponding set of performance characteristics. Second, one set of values with the best performance is chosen. The best performance does not mean the highest net profit or minimum drawdown; it can be any combination of acceptable performance characteristics.
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