I've gone through three rounds of historical data optimization (back-testing) for the major forex pairs, performing simulated trading in each pair independently. This mode of the market analysis, with the various exchange rates being treated by the algorithm in isolation from one another, is not the way the production trading system will operate. However, understanding the markets in isolation and optimizing the trading system in this simpler problem setting is seen as the first step towards optimization of the more complex algorithm, where the amount of information at every point in time will be radically increased by combining analyses of multiple exchange rates within the same algorithm. This study is a cross-check to see how the indvidual optima hang together, trying to define a coherent dry residue from the combined experience of the 150,423 simulated trading histories.
Summary of the trading system optimization results. Step One.
Source: www.forexautomaton.com
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