System Optimization With Expectancy

About the Author Jeff Swanson

Jeff is the founder of System Trader Success - a website and mission to empowering the retail trader with the proper knowledge and tools to become a profitable trader the world of quantitative/automated trading.

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  • Xerox says:

    ” You just stick it at the end of your signal and start the optimizer. Every iteration of the optimizer will cause a line to be written to an Excel .csv file. Then all you do is load it into Excel, sort by the last column, and voila! The parameters for maximum expectancy score are right at the top.”

    • While the Unicorn function does something very similar, they are different. First, if you look at the code they are written completely different. The methods used by both programs to compute expectancy is different. Second, I don’t like to optimize over multiple input parameters so my code will only optimize one parameter at a time. In short, the code I’m providing is much more simple. However, the code provided by Unicorn may very well be more helpful to some people.

  • bukowski says:

    Hi Jeff
    Could you please include the text file as well so non-TS users can benefit?

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