@GraHal Please share the ITF file of the strategy you wish to implement the algorithm to and I will have a look to see where the problem is.
Then to further elaborate on GraHal’s explanation:
The algorithm also keeps track of the following:
- Best average performance (Profit) measured over all the previous evaluation periods (StratAvgB)
- Best win rate (Win %) measured over a all the previous evaluation periods (WinCountB)
It then measures and saves the same metrics but only for the last evaluation period (StratAvgA and WinCountA) and compares them to the above.
It then starts by systematically incrementing the target variables both up and down to see what appears to improve performance most
There are also some other calculations going on but that is mostly to achieve the above.
