Optimizing the forex trading system parameters: GBP/USD

This is the fourth report in the series of forex trading system optimization reports for the individual currency pairs, traded on the day scale, which began with AUD/JPY. In the algorithm, the forecast signal whose nature will not be disclosed is fed into the money management framework driven by three adjustable parameters. The parameters form a multi-dimensional space populated by figures of merit, as obtained by Monte Carlo simulation of independent trading histories. The set of 13398 parameter combinations represents the totality of possible trading styles under study. The goal is to optimize the trading style by finding the best values of parameters on the basis of the simulated trading performance. The insights obtained in the process may be of general interest, since the problem of money management is common to all traders, robots and humans alike.

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