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03/06/2020 at 9:22 AM
#121318
hi juanj
one algo works, but 2 fails somewhere.
I created a basic strategy on a second timeframe for testing. Can you see what is wrong please below?
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defparam cumulateorders = false defparam preloadbars = 10000 defparam flatbefore = 080000 defparam flatafter = 220000 period1=7 period2=14 HeuristicsCycleLimit = 2 If HeuristicsCycle >= HeuristicsCycleLimit Then If HeuristicsAlgo1 = 1 Then HeuristicsAlgo2 = 1 HeuristicsAlgo1 = 0 ElsIf HeuristicsAlgo2 = 1 Then HeuristicsAlgo1 = 1 HeuristicsAlgo2 = 0 EndIf HeuristicsCycle = 0 EndIf If HeuristicsAlgo1 = 1 Then //Heuristics Algorithm 1 Start If (onmarket[1] = 1 and onmarket = 0) or (longonmarket[1] = 1 and longonmarket and countoflongshares < countoflongshares[1]) or (longonmarket[1] = 1 and longonmarket and countoflongshares > countoflongshares[1]) or (shortonmarket[1] = 1 and shortonmarket and countofshortshares < countofshortshares[1]) or (shortonmarket[1] = 1 and shortonmarket and countofshortshares > countofshortshares[1]) or (longonmarket[1] and shortonmarket) or (shortonmarket[1] and longonmarket) Then optimize = optimize + 1 EndIf StartingValue = period1 ResetPeriod = 3 //Specify no of months after which to reset optimization Increment = 1 MaxIncrement = 7 //Limit of no of increments either up or down Reps = 3 //Number of trades to use for analysis MinValue = 2 //Minimum allowed value MaxValue = 14 //Maximum allowed value If monthinit = 1 or monthinit = 3 or monthinit = 5 or monthinit = 7 or monthinit = 8 or monthinit = 10 or monthinit = 12 Then MonthDays = 31 ElsIf monthinit = 4 or monthinit = 6 or monthinit = 9 or monthinit = 11 Then MonthDays = 30 ElsIf monthinit = 2 Then If (yearinit/4 = round(yearinit/4)) or (yearinit/400 = round(yearinit/400)) Then //haha not sure how exactly to do this MonthDays = 29 //leap year Else MonthDays = 28 EndIf EndIf If (month = monthinit and day = dayinit + ResetPeriod) or (month = monthinit + 1 and (day + (MonthDays - dayinit)) >= ResetPeriod) Then ValueX = StartingValue WinCountB = 0 StratAvgB = 0 BestA = 0 BestB = 0 dayinit = day monthinit = month yearinit = year EndIf once ValueX = StartingValue once PIncPos = 1 //Positive Increment Position once NIncPos = 1 //Neative Increment Position once Optimize = 0 ////Initialize Heuristicks Engine Counter (Must be Incremented at Position Start or Exit) once Mode = 1 //Switches between negative and positive increments //once WinCountB = 3 //Initialize Best Win Count //GRAPH WinCountB coloured (0,0,0) AS "WinCountB" //once StratAvgB = 4353 //Initialize Best Avg Strategy Profit //GRAPH StratAvgB coloured (0,0,0) AS "StratAvgB" If Optimize = Reps Then WinCountA = 0 //Initialize current Win Count StratAvgA = 0 //Initialize current Avg Strategy Profit HeuristicsCycle = HeuristicsCycle + 1 For i = 1 to Reps Do If positionperf(i) > 0 Then WinCountA = WinCountA + 1 //Increment Current WinCount EndIf StratAvgA = StratAvgA + (((PositionPerf(i)*countofposition[i]*100000)*-1)*-1) Next StratAvgA = StratAvgA/Reps //Calculate Current Avg Strategy Profit //Graph (PositionPerf(1)*countofposition[1]*100000)*-1 as "PosPerf1" //Graph (PositionPerf(2)*countofposition[2]*100000)*-1 as "PosPerf2" //Graph StratAvgA*-1 as "StratAvgA" //once BestA = 300 //GRAPH BestA coloured (0,0,0) AS "BestA" If StratAvgA >= StratAvgB Then StratAvgB = StratAvgA //Update Best Strategy Profit BestA = ValueX EndIf //once BestB = 300 //GRAPH BestB coloured (0,0,0) AS "BestB" If WinCountA >= WinCountB Then WinCountB = WinCountA //Update Best Win Count BestB = ValueX EndIf If WinCountA > WinCountB and StratAvgA > StratAvgB Then Mode = 0 ElsIf WinCountA < WinCountB and StratAvgA < StratAvgB and Mode = 1 Then ValueX = ValueX - (Increment*NIncPos) NIncPos = NIncPos + 1 Mode = 2 ElsIf WinCountA >= WinCountB or StratAvgA >= StratAvgB and Mode = 1 Then ValueX = ValueX + (Increment*PIncPos) PIncPos = PIncPos + 1 Mode = 1 ElsIf WinCountA < WinCountB and StratAvgA < StratAvgB and Mode = 2 Then ValueX = ValueX + (Increment*PIncPos) PIncPos = PIncPos + 1 Mode = 1 ElsIf WinCountA >= WinCountB or StratAvgA >= StratAvgB and Mode = 2 Then ValueX = ValueX - (Increment*NIncPos) NIncPos = NIncPos + 1 Mode = 2 EndIf If NIncPos > MaxIncrement or PIncPos > MaxIncrement Then If BestA = BestB Then ValueX = BestA Else If reps >= 10 Then WeightedScore = 10 Else WeightedScore = round((reps/100)*100) EndIf ValueX = round(((BestA*(20-WeightedScore)) + (BestB*WeightedScore))/20) //Lower Reps = Less weight assigned to Win% EndIf NIncPos = 1 PIncPos = 1 ElsIf ValueX > MaxValue Then ValueX = MaxValue ElsIf ValueX < MinValue Then ValueX = MinValue EndIF Optimize = 0 EndIf // Heuristics Algorithm 1 End ElsIf HeuristicsAlgo2 = 1 Then // Heuristics Algorithm 2 Start If (onmarket[1] = 1 and onmarket = 0) or (longonmarket[1] = 1 and longonmarket and countoflongshares < countoflongshares[1]) or (longonmarket[1] = 1 and longonmarket and countoflongshares > countoflongshares[1]) or (shortonmarket[1] = 1 and shortonmarket and countofshortshares < countofshortshares[1]) or (shortonmarket[1] = 1 and shortonmarket and countofshortshares > countofshortshares[1]) or (longonmarket[1] and shortonmarket) or (shortonmarket[1] and longonmarket) Then optimize2 = optimize2 + 1 EndIf StartingValue2 = period2 ResetPeriod2 = 3 //Specify no of months after which to reset optimization Increment2 = 1 MaxIncrement2 = 7 //Limit of no of increments either up or down Reps2 = 3 //Number of trades to use for analysis MinValue2 = 15 //Minimum allowed value MaxValue2 = 28 //Maximum allowed value If monthinit2 = 1 or monthinit2 = 3 or monthinit2 = 5 or monthinit2 = 7 or monthinit2 = 8 or monthinit2 = 10 or monthinit2 = 12 Then MonthDays2 = 31 ElsIf monthinit2 = 4 or monthinit2 = 6 or monthinit2 = 9 or monthinit2 = 11 Then MonthDays2 = 30 ElsIf monthinit2 = 2 Then If (yearinit2/4 = round(yearinit2/4)) or (yearinit2/400 = round(yearinit2/400)) Then //haha not sure how exactly to do this MonthDays2 = 29 //leap year Else MonthDays2 = 28 EndIf EndIf If (month = monthinit2 and day = dayinit2 + ResetPeriod2) or (month = monthinit2 + 1 and (day + (MonthDays2 - dayinit2)) >= ResetPeriod2) Then ValueY = StartingValue2 WinCountB2 = 0 StratAvgB2 = 0 BestA2 = 0 BestB2 = 0 dayinit2 = day monthinit2 = month yearinit2 = year EndIf once ValueY = StartingValue2 once PIncPos2 = 1 //Positive Increment Position once NIncPos2 = 1 //Neative Increment Position once Optimize2 = 0 ////Initialize Heuristicks Engine Counter (Must be Incremented at Position Start or Exit) once Mode2 = 1 //Switches between negative and positive increments //once WinCountB2 = 3 //Initialize Best Win Count //GRAPH WinCountB2 coloured (0,0,0) AS "WinCountB2" //once StratAvgB2 = 4353 //Initialize Best Avg Strategy Profit //GRAPH StratAvgB2 coloured (0,0,0) AS "StratAvgB2" If Optimize2 = Reps2 Then WinCountA2 = 0 //Initialize current Win Count StratAvgA2 = 0 //Initialize current Avg Strategy Profit HeuristicsCycle = HeuristicsCycle + 1 For i2 = 1 to Reps2 Do If positionperf(i) > 0 Then WinCountA2 = WinCountA2 + 1 //Increment Current WinCount EndIf StratAvgA2 = StratAvgA2 + (((PositionPerf(i)*countofposition[i]*100000)*-1)*-1) Next StratAvgA2 = StratAvgA2/Reps2 //Calculate Current Avg Strategy Profit //Graph (PositionPerf(1)*countofposition[1]*100000)*-1 as "PosPerf1-2" //Graph (PositionPerf(2)*countofposition[2]*100000)*-1 as "PosPerf2-2" //Graph StratAvgA2*-1 as "StratAvgA2" //once BestA2 = 300 //GRAPH BestA2 coloured (0,0,0) AS "BestA2" If StratAvgA2 >= StratAvgB2 Then StratAvgB2 = StratAvgA2 //Update Best Strategy Profit BestA2 = ValueY EndIf //once BestB2 = 300 //GRAPH BestB2 coloured (0,0,0) AS "BestB2" If WinCountA2 >= WinCountB2 Then WinCountB2 = WinCountA2 //Update Best Win Count BestB2 = ValueY EndIf If WinCountA2 > WinCountB2 and StratAvgA2 > StratAvgB2 Then Mode = 0 ElsIf WinCountA2 < WinCountB2 and StratAvgA2 < StratAvgB2 and Mode2 = 1 Then ValueY = ValueY - (Increment2*NIncPos2) NIncPos2 = NIncPos2 + 1 Mode2 = 2 ElsIf WinCountA2 >= WinCountB2 or StratAvgA2 >= StratAvgB2 and Mode2 = 1 Then ValueY = ValueY + (Increment2*PIncPos2) PIncPos2 = PIncPos2 + 1 Mode = 1 ElsIf WinCountA2 < WinCountB2 and StratAvgA2 < StratAvgB2 and Mode2 = 2 Then ValueY = ValueY + (Increment2*PIncPos2) PIncPos2 = PIncPos2 + 1 Mode2 = 1 ElsIf WinCountA2 >= WinCountB2 or StratAvgA2 >= StratAvgB2 and Mode2 = 2 Then ValueY = ValueY - (Increment2*NIncPos2) NIncPos2 = NIncPos2 + 1 Mode2 = 2 EndIf If NIncPos2 > MaxIncrement2 or PIncPos2 > MaxIncrement2 Then If BestA2 = BestB2 Then ValueY = BestA Else If reps2 >= 10 Then WeightedScore2 = 10 Else WeightedScore2 = round((reps2/100)*100) EndIf ValueY = round(((BestA2*(20-WeightedScore2)) + (BestB2*WeightedScore2))/20) //Lower Reps = Less weight assigned to Win% EndIf NIncPos2 = 1 PIncPos2 = 1 ElsIf ValueY > MaxValue2 Then ValueY = MaxValue2 ElsIf ValueY < MinValue2 Then ValueY = MinValue2 EndIF Optimize2 = 0 EndIf // Heuristics Algorithm 2 End EndIf c1=average[valuex](close) c2=average[valuey](close) // condbuy =c1 crosses over c2 and rsi[14](close)<70 condsell=c1 crosses under c2 and rsi[14](close)>30 // if condbuy then buy at market endif if condsell then sellshort at market endif pp=positionperf(0)*100 if pp<-0.125 then sell at market exitshort at market endif set stop %loss 0.5 // exit sooner on performance criteria above set target %profit 0.25 graph valuex coloured(121,141,35,255) as "fastperiod1" graph valuey coloured(255,0,0,255) as "slowperiod" |
