Hi,

I am trying to dynamically optimize a strategy parameter value to be used for the next 6 months based on the most recent 5 year APR%.

I know how to use the optimizer to optimize values for a strategy to arrive at a fixed number but I am not sure if there is a way to run optimization at Runtime.

A example would be:

1. Strategy uses an optimized 43 day SMA value to generate Buy & Sell Signals when the price crossed SMA. Intial Optimization is based on 5 year historical data.

2. At the end of first 6 months, I would like to run the optimizer to determine the %APR for the most recent 5 Year data and arrive at an SMA value of say 39 to be used fro the next 6 months.

3. I understand the risks of dynamic optimization and curve fitting the data. But I need to test a theory and the manual way of doing this seems daunting.

btw, I need to do this runtime optimization for back testing.

Is calling another strategy that produces the APR% for various SMA values and use the most profitable SMA as the input for the current 6 month period possible?

Thanks for your help.

That's exactly how Walk-Forward Optimization operates. WFO was introduced in version 6.6. See the Wealth-Lab User Guide > Strategy Window > Optimization > Walk-Forward Optimization.

Can't believe my luck! Thanks Eugene. I will check out the documentation.