is there a python library that allows for the optimization of parameters used within a strategy? I want to parameter step over several years in rolling 30 day periods, then average the results for each parameter and optimize for max return min risk... Otherwise as a brute force method, can I simply loop through running the backtest several times at different parameters and with a few if statements record the optimal parameters at each time interval?
Hi Brandon,
There are plenty of python libraries for general, batch optimization. However, optimizing a trading strategy in an online way isn't quite that simple for several (mostly implementational) reasons. I wrote a blog post on this here which you might be interested in.
As to your second proposal: Yes, you can just optimize by trying out one parameter value and run a whole backtest. I will actually give a talk on how to do this at PyData with zipline (Quantopian's open-source backtester). Unfortunately we haven't gotten around to making this available in Quantopian but it is something we would like to do.
Thomas
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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.