optimize_strategy: Optimize a strategy parameter

In jonaselm/fluxcapacitor: A Quantitative Backtesting Engine

Description

This function can be used to find the optimal value of a range of values for a strategy parameter.

Usage

optimize_strategy(strategy_object, generator, generator_args, optimize_range,
  signal)

Arguments

strategy_object	a strategy object
generator	the function used to generate the indicator value being optimized
generator_args	a named list of parameters to use with the generator function. Parameters to be optimized should be denoted with a question mark (?).
optimize_range	a range of values to optimize amongst.
signal	the signal to evaluate the reward function on.

Details

From the list of values in the optimize range, the function will evaluate the profitability of the strategy under each optimize_range value. The function returns the value that results in the highest ledger value at the end of the test.

Value

a strategy object with an Optimized entry

jonaselm/fluxcapacitor documentation built on May 16, 2019, 2:53 a.m.