Normalizer

The Strategy Normalizer tries to make a strategy tidier and at the same time, it is capable to increase its performance.

We think a strategy is better when it has a lower number of components and when their indicators have more meaningful parameters.

• Remove Take Profit - checks if strategy becomes better without Take Profit.
• Remove needless indicators - some indicators do not contribute to the performance. The Normalizer tries to remove them to make teh strategy faster and to prevent curve-fitting.

• Reduce Stop Loss - the lower SL reduces the maximal loss of a position and can improve the Risk / Reward ratio.
• Reduce Stop Loss - it can be possible to have better performance by taking the profit faster.
• Normalize indicator parameters - the authors of the technical indicators have spent a long time researching and testing their indicators. Let's use their experience and try to move the indicator parameters towards their default values.

The first function of the Normalizer is “Remove Take Profit”. (We don't have “Remove Stop Loss” intentionally because it may make the strategy unsafe.)

Imagine a strategy on EURUSD that has Take Profit of 10 000 pips. It is very unlikely it be hit whenever. So, the Normalizer will try to remove it temporarily and will calculate the strategy performance. It works like that:

1. Make a modification step. In that case, the Normalizer will disable the Take Profit.
2. Backtest the strategy.
3. Validate the strategy against the Common Acceptance Criteria (if the option is on).
4. Calculate strategy fitness according to the “Search best” option.
5. If the strategy is valid and if its fitness is same or better than the original one, it accepts the modification. The normalizer restores the previous strategy in other cases.
6. Continue to step 1 or exit. (Remove the Take Profit has only one step, so exit)