I am interested to know if it is possible (in theory) to include a logic/code inside an algorithm, that could conduct a backtest for the given day and update some of the parameters that are set as variable based on the optimum results from that same backtest.
Something like a walk forward that would be updating itself as a background process of the algorithm and to update the variables.
I know it sounds weird, but if you think of it...it is a pretty sound logic. Especially for scalpers. Having the flexibility to fine tune itself for the given day, could be a very neat feature.
Let me know what you think.
Thanks.
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