Parameter Reactivity and Selection

Perhaps there is already a quick and easy way to do this in SQX, but haven found it yet :)

It would be great if, in the [Optimizer>Optimizer Type>Simple] there was the option to 'check for parameter reactivity', whereby the optimization proceeded one parameter at a time, holding the others constant, in order to ascertain which parameters had the most significant impact on performance (the objective function, or ranking/fitness in SQX) The result could be a simple table with the range of variance in performance per parameter. From here, you could quickly pick the top one or two parameters to optimize. I am not a fan of optimizing more than one or two strategy parameters. From Pardo (below)...

Trading strategies can have quite a range in number of rules and formulae that can accept parameters that might benefit from optimization. It is always best to have the smallest number of optimizable parameters possible, and yet still provide the required flexibility. The greater the number of parameters to be optimized, the more likely it is that the results will be overfitted or optimized incorrectly.

Consequently, it is best to make every effort at the outset to identify the key strategy parameters to be incorporated into the optimization framework. Of course, the key parameters are those that have the most significant impact on performance. If a parameter has little impact on performance, there is no reason to include it in the optimization. Instead, a fixed value or constant should be used for these less significant parameters.

If the relative significance of the model parameters is not known a priori, then an added empirical step must be performed to determine their significance. The easiest way to do this is to scan a relevant parameter range for each strategy variable, one at a time, holding the other strategy variables constant at a known reasonable value. A parameter is important if such a scan shows dramatic performance change. Conversely, a parameter is considered of less importance if such a scan shows little or no change in performance. Of course, such a test also raises the more important question as to whether this variable is needed at all in the strategy. It is always best to simplify a trading strategy to only those parameters, rules, and formulae that are necessary to produce peak performance. So, if the elimination of peripheral rules and parameters does not detract significantly from performance, reduce the strategy to just its necessary components.

Pardo, Robert. The Evaluation and Optimization of Trading Strategies (Wiley Trading) (pp. 217-218). Wiley. Kindle Edition.