Compare many trading strategies, each with many variants

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Compare many trading strategies, each with many variants

posted Dec 18, 2019

Seeking Help Using Data Statistics Visualization

I'm developing a custom Python quant program and have 100 Trading Strategies (e.g. Keltner Channesl, Bollinger Bands, MACD, etc). I also have 10 parameters that I cycle through for each strategy (e.g. Fast_Periods, Slow_Periods, Trailing Stop %, etc). When I run the simulation, it generates about 500,000 combinations of Trading Strategies and Parameters Sets. I run the simulation over all S&P500 companies over 20 years of daily data. So far, so good - it works. My issue is analyzing all that output. I port is to pandas and Excel.

I refer to a Trading Strategies averaged over all Parameter Sets as a "Parent Trading Strategy" (PTS).
I refer to a Trading Strategy with a specific set of parameter values as a "Trading Strategy Instance" (TSI).

I find the top 10 PTS are different from the top 10 TSI. Are there any best practices for comparing Trading Strategies overall (PTS), vs specifically parameterized Trading Strategies (TSI).

I can compare risk adjusted returns of each strategy or each PTS and of each TSI, and even of each set of parameter values. But I'm unclear how to aggregate them in to an overall conclusion of which to select for actual trading. Has anyone else faced a similar problem?
Thanks in advance
Phil

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.