quanttrading

We’re excited to announce the release of the Grid Search Optimiser feature in CorrAI! This powerful tool allows traders to fine-tune their strategies by systematically testing parameter combinations to maximise returns, improve Sharpe ratios, and minimise maximum drawdowns (MDD). In this article, we’ll walk through how to apply the two-dimensional Grid Search Optimiser to a simple Time Series Forecast (TSF) trading strategy for Bitcoin (BTC).

The Trading Strategy
The strategy we’ll optimise is straightforward:
Entry Rule: Open a position when the 1-day BTC close price is higher than the TSF indicator.Exit Rule: Close the position when the 1-day BTC close price falls below the TSF indicator.
Since this strategy relies solely on the TSF indicator, we’ll focus on optimising its parameter (the lookback period). For this example, we’ll use:
Data: BTC 1-day close prices from September 1, 2024, to September 1, 2025.Initial TSF Parameter: 14 (a default value, which we’ll optimize later).Trading Fee: 0.1% per trade.

Step 1: Setting Up the Backtest
To begin, navigate to the Backtesting page in CorrAI and configure the following:
i. Add the TSF Indicator:
Set the price factor to 1d | BTC | close.
Use the default TSF parameter of 14 (this is a placeholder, as we’ll optimise it).
ii. Define Trading Rules:
Entry Rule: 1d | BTC | close > 1d | BTC | close # TSF 14
Exit Rule: 1d | BTC | close < 1d | BTC | close # TSF 14

iii. Set Trading Parameters:
Ensure the trading fee is set to 0.1%.
Confirm the trading direction (e.g., long-only for instance).

iv. Run the Backtest:
Click the Play button to execute the backtest.

The initial results may not meet expectations, as the default TSF parameter of 14 is likely suboptimal. This is where the Grid Search Optimiser shines!
BTC Buy & Hold Return: 82.75%
Backtesting Return: 20.79%
Sharpe Ratio: 0.75
MDD: -27.5%
Step 2: Optimising TSF Parameters with Grid Search
To improve the parameters, we’ll use the Grid Search Optimiser to test a range of TSF parameters for both entry and exit rules.
i. Access the Optimiser:
Click the Lightning button on the Backtesting page and select Grid Search. (Note: Additional optimiser features are coming soon!)

ii. Configure the Parameters:
Select the TSF parameter for optimization (look for the “lightning” symbol next to optimizable items).

Set the following for both the Entry and Exit rules:
Start: 1
End: 100
Step: 1

This configuration instructs the optimiser to run backtests for TSF parameters ranging from 1 to 100, incrementing by 1 for both rules. For example, it will test combinations like:
Entry: 1d | BTC | close > 1d | BTC | close # TSF 1,
Exit: 1d | BTC | close < 1d | BTC | close # TSF 1
and then
Entry: 1d | BTC | close > 1d | BTC | close # TSF 1,
Exit: 1d | BTC | close < 1d | BTC | close # TSF 2
... up to
Entry: 1d | BTC | close > 1d | BTC | close # TSF 100,
Exit: 1d | BTC | close < 1d | BTC | close # TSF 100.
So there will be 10000 computations in total.
iii. Run the Optimiser:
Click Play to start the grid search. The optimiser will perform backtests for all parameter combinations within the specified ranges.

Step 3: Analysing the Results
Once the grid search completes, CorrAI provides a results page with visualisations to help you identify the best parameter combinations. Key metrics include:
Total Return: The overall profit or loss of the strategy.Sharpe Ratio: A measure of risk-adjusted returns.Maximum Drawdown (MDD): The largest peak-to-trough decline in account value.
In the results:
Factor A: Represents the TSF parameter for the Entry Rule.Factor B: Represents the TSF parameter for the Exit Rule.Z-Axis: Represents the total return of the strategy for each parameter combination.

The optimal parameter set improves the Total Return from 20.97% to 109.7%
Sharpe Ratio from 0.75 to 2.17
and MDD from -27.5% to -17.75%
And of course, lower time period parameters also increase the trading frequency

From the charts, you might observe that the optimal parameters are approximately:
Entry Rule: 1d | BTC | close > 1d | BTC | close # TSF 5Exit Rule: 1d | BTC | close < 1d | BTC | close # TSF 9
These parameters yield a promising combination of high returns, a strong Sharpe ratio, and a manageable MDD.
Other optimisations like settings in SL/TP and changes in trading direction will provide even more precise parameter values. For example, you might find a long & short that further improves the Total Return and Sharpe Ratio, resulting in a different trading strategy.

So join us in CorrAI and try your ideas now!
My referral link: https://corr.ai/#/signup?ref=CORRAI
Conclusion
CorrAI’s Grid Search Optimiser empowers traders to systematically explore parameter combinations to enhance their strategies. By testing a range of parameters for crypto trading strategy, we identified and fine-tuned optimal values, achieving higher returns and better risk-adjusted performance. Stay tuned for more exciting features from CorrAI to take your trading to the next level!
As always, stay SHARPE! And focus on your trading inspiration*