I have created quite a complex back test in excel spanning 15 years with 17 parameters. I would like to optimize the parameters which would give me maximum return given a maximum draw-down percentage. Is it possible to optimize it without actually coding the strategy in R or similar software that have optimization capabilities?

  • $\begingroup$ Did you try the Excel Solver? It's not the best solver available but it might just work. $\endgroup$ – Bob Jansen Apr 23 '16 at 14:26
  • $\begingroup$ Solving for 17 parameters over 15 years is quite a lot for excel solver to handle. $\endgroup$ – Vinay Bharath Apr 24 '16 at 14:16
  • 2
    $\begingroup$ ...beware data snooping bias! $\endgroup$ – vonjd Apr 25 '16 at 17:12

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