What Is Strategy Optimisation

One rule, four settings

Strategy optimisation is running one rule over old bars at each value of a setting in turn, and reading what each value does. Take the simplest rule there is, the close crossing its own average, and the one number in it, the average's length. Over gold's 2025 the rule fired 35 times at 10 days, 35 at 20, 11 at 50, and never at 100 — the closest the close came to a 100-day average all year was 6.55 dollars, on 19 August. Nothing about the rule changed; one number did, and the rule went from firing three times a month to not firing at all. That is what an optimisation shows.

A radio dial

Picture a radio dial. Every position on the dial is a setting — 10, 20, 50, 100 days for the average — and optimisation is turning the knob through all of them, one notch at a time, and listening at each. The dial does not know which station you want; it only shows what comes in at each number. On the tester that listening is the rule run over old bars at one setting, then the next, and a table of what each setting did. What to make of the table is a separate matter, and the next paper on this shelf is about the trap in it.

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