What Is Grid search?
In algorithmic trading, grid search is a hyperparameter optimization technique used to backtest the best combination of hyperparameters for a trading strategy. Grid search involves exhaustively searching through a manually specified subset of the hyperparameter space and evaluating each combination for cumulative profit and risk-adjusted return.
Although grid search can be computationally expensive, it is often used when the search space is relatively small or when a more thorough exploration of the hyperparameter space is desired. Other optimization techniques, such as random search or Bayesian optimization, can be more efficient in cases where the search space is large or the performance landscape is complex.
Blindly using grid search may result to overfitting and the trading strategy does not have any real alpha.
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