In the previous post we managed to use Zorro Trader’s optimize() function in order to find the most robust value for the single parameter of our very simple trend following algorithmic trading strategy. Zorro Trader saved the optimal value for us in a .par file, and it knows how to retrieve it without user intervention. All we need to do now is hit the Test button, and Zorro Trader will run a back-test using the optimized value of the formation period of our simple moving average. The equity curve is depicted above, and now it looks significantly better!
by Algo Mike
Experienced algorithmic and quantitative trading professional.