Make sure not to over-optimize or overfit, but create a process to find the best middle of the road parameters for say the dual simple moving average algo with ETH/BTC on bittrex. Backtesting and walk-forward testing automatically and finding the set of parameters that worked best on average.
In order to do this, i need a new set of classes or functions to determine fitness, since i know this can vary using data like total profit, average profit per interval, drawdown, # of trades. These should be able to built up or composed or mix and matched like indicators can in signals.
Make sure not to over-optimize or overfit, but create a process to find the best middle of the road parameters for say the dual simple moving average algo with ETH/BTC on bittrex. Backtesting and walk-forward testing automatically and finding the set of parameters that worked best on average.
In order to do this, i need a new set of classes or functions to determine fitness, since i know this can vary using data like total profit, average profit per interval, drawdown, # of trades. These should be able to built up or composed or mix and matched like indicators can in signals.