Optimize indicator outputs and not inputs

To optimize the Bollinger Band Width (BBW) values in your strategy, you can follow these steps:

1. Set Up Optimization Parameters: Use QuantConnect's parameter system to define the BBW values as parameters in your algorithm. This involves setting up a configuration file (config.json) where you specify the parameters you want to optimize. For example:

   {
       "parameters": {
           "bbw-period": "20",
           "bbw-multiplier": "2"
       }
   }
   

   In your algorithm, retrieve these parameters using self.get_parameter("bbw-period") and self.get_parameter("bbw-multiplier").

2. Use the Optimization Tool: Utilize QuantConnect's optimization tool to run multiple backtests with different BBW values. You can configure the optimization to vary these parameters and analyze which values yield the best performance.

3. Log Indicator Values: Implement logging within your algorithm using the Log method to record BBW values and other relevant metrics during the backtest. Here's an example of how to use the Log method:

   self.Log(f"Current BBW: {bbw_value}")
   

4. Export Completed Trades: After running the backtest, you can export completed trades and logged indicator values. Use the History method to retrieve historical trade data and export it for further analysis.

5. Analyze Results: Load the optimization results into the Research Environment to analyze how different BBW values affected the algorithm's performance.

6. Iterate and Refine: Based on the analysis, refine your BBW value range and repeat the optimization process to further hone in on optimal values.

7. Implement in Live Strategy: Once optimal BBW values are identified, implement them in your live trading strategy for improved performance.

If you need further assistance with specific code examples or configurations, feel free to ask!

Sources: Walk Forward Optimization - QuantConnect.com, Bitcoin as a Leading Indicator, Bollinger Bands - QuantConnect.com, Key Concepts - QuantConnect.com, Data Point Indicators - QuantConnect.com