Hi Nicolas, we should have a way to assess the smoothness of the surface of the optimized variables.
Let’s say we have a system depending on x,y,z variables, we optimize it with respect to sharpe ratio and then we want to see how much the optimization results change if we change the variables x,y,z by 1%.
In other words we want an optimizer that gives information explicitly about the derivative of the optimized surface.
An other thing that will be very useful in my opinion is a tool that is able to draw the timeseries of the optimized variables, that is to say, suppose you have 3 year of history, then you optimize your system every 3 months in the past and so for every year you will have 4 data representing the optimized variable history every quarter.
It will greatly help in assessing the robustness of your system, together with the WF.
Many thanks
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