Date: Wednesday, June 17, 2015 / Time: 7:00 AM ET - Eastern Time
Open To: MultiCharts Sponsored Webinar
Traders, developers and academic researchers like to discuss optimization, and very often these discussions turn into real battles.
No other aspect of systematic trading has been so heavily discussed and yet remains the subject of more discussion. Some say that optimization is used to make the largest possible profits, others argue that it can only create strategies which work only on past data - not in live trading.
The problem in fact is in a certain misunderstanding of the very term "optimization" which has a very clear and unambiguous mathematical meaning, but unfortunately is improperly interpreted by many people who are not immediately involved in a very special domain of mathematics known as variational calculus. Unfortunately even market professionals are no exception, and this incorrect interpretation is the very source of ambiguity and continued debates.
Fortunately as many other complex mathematical concepts, variational calculus can also be explained in simple terms, and modern software is able to relieve the researcher of the pain of making calculations by hand. Therefore all we truly need is the understanding of the essence of the process which can be as damaging, or as beneficial for your trading — depending on whether you understand what you’re doing.
Let's discuss the essence of optimization and see whether any of the arguing parties is right.