Every algorithmic trading strategy has some parameters. The parameters need to be initialized at the beginning, and maybe changed later. The values we choose for these parameters (arbitrarily or by computation) can have a very large effect on the performance of the algorithmic trading strategy. In this post, we will explore this effect on our simple mean reversion strategy on the EUR/USD pair in Zorro Trader.
by Algo Mike
Experienced algorithmic and quantitative trading professional.