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Parameter optimisation

Searching parameter space for the settings that maximise some objective; useful for mapping the landscape, dangerous as a way to choose settings.

Optimisation is a mapping tool. Run it, then look at the whole surface: where are the decent regions, how wide are they, do they move between periods. Taking the single best cell is the classic route to overfitting.

Prefer a robust objective. Maximising raw return picks the luckiest path; maximising sharpe-ratio picks low-trade-count flukes; maximising the 25th percentile of returns across a neighbourhood of parameters and several data subsets picks something more likely to repeat.

Example: a grid of 400 combinations tested on 800 trades. The best cell shows a profit factor of 2.1, the median cell 1.15. A reasonable live expectation is closer to the median plus a little, not the maximum.

Related: grid-search, objective-function, parameter-plateau, overfitting

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