Hi, this system code below is causing a “Division by Zero” system stop out issue twice since being launched last week.
Is anyone able to find the line of code that is causing the problem? It tested fine and well on back test (Wall Street DFB).
Cheers, much appreciated for any help.
//-------------------------------------------------------------------------
//Main code : Bard Renko ML3 pLoss (CLR)(i)
//Cycle Limit + Resetperiod
//First Fully Working ML3 System
//Long Boxsize = ValueX
//Short Boxsize = ValueY
//Point Loss = ValueZ
//Heuristic = 3. Check
//ElsIf HeuristicsAlgo3 = 1 Then -- Check
//Corrected to Mode3 in ML3 -- Check
//https://www.prorealcode.com/topic/machine-learning-in-proorder/page/3/#post-121130
//-------------------------------------------------------------------------
//https://www.prorealcode.com/topic/why-is-backtesting-so-unreliable/#post-110889
//definition of code parameters
defparam cumulateorders = false // cumulating positions deactivated
defparam preloadbars = 1000
//Money Management
//Capital = 10000 + strategyprofit //Current profit made by the closed trades of the running strategy.
N = 1//10*Capital/Close //30*Capital/Close //30
//Settings 1 & 2
/////////////////////////////////////////////////////////////
startingvalue = 50 //50 20 40 5, 100, 10 //boxsize
maxvalue = 250 //250 50 20, 300, 150 //maximum allowed value
increment = 20 //10, 5, 20,
minvalue = 20 //15, minimum allowed value
maxincrement = 10 //20, 5, 10 limit of no of increments either up or down
reps = 2 //1 number of trades to use for analysis //2
ResetPeriod = 0.5 //0.5 = same as if no Reset system. Specify no of months to reset optimisation
/////////////////////////////////////////////////////////////
startingvalue2 = 50 //50 20 40 5, 100, 10 //boxsize
maxvalue2 = 250 //250 20, 300, 150 //maximum allowed value
increment2 = 20 //20, 5 10
minvalue2 = 20 //20 15, minimum allowed value
maxincrement2 = 10 //5, 10 limit of no of increments either up or down
reps2 = 2 //2, 1 number of trades to use for analysis //2
ResetPeriod2 = 0.5 //0.5 Specify no of months to reset optimisation
/////////////////////////////////////////////////////////////
startingvalue3 = 50 //50, 5, 100, 10 // pLoss
maxvalue3 = 100 //100 20, 300, 150 //maximum allowed value
increment3 = 5 //5, 20, 10
minvalue3 = 5 //5, minimum allowed value
maxincrement3 = 8 //8, 5, 10 limit of no of increments either up or down
reps3 = 2 //2, 1 number of trades to use for analysis //2
ResetPeriod3 = 0.5 //0.5 Specify no of months to reset optimisation
/////////////////////////////////////////////////////////////
HeuristicsCycleLimit = 3
once HeuristicsCycle = 0
once HeuristicsAlgo1 = 1
once HeuristicsAlgo2 = 0
once HeuristicsAlgo3 = 0
If HeuristicsCycle >= HeuristicsCycleLimit Then
If HeuristicsAlgo1 = 1 Then
HeuristicsAlgo1 = 0
HeuristicsAlgo2 = 1
HeuristicsAlgo3 = 0
ElsIf HeuristicsAlgo2 = 1 Then
HeuristicsAlgo1 = 0
HeuristicsAlgo2 = 0
HeuristicsAlgo3 = 1
ElsIf HeuristicsAlgo3 = 1 Then
HeuristicsAlgo1 = 1
HeuristicsAlgo2 = 0
HeuristicsAlgo3 = 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
optimise = optimise + 1
endif
once monthinit = month
once yearinit = year
If (year = yearinit and month = (monthinit + ResetPeriod)) or (year = (yearinit + 1) and ((12 - monthinit) + month = ResetPeriod)) Then
ValueX = StartingValue
WinCountB = 0
StratAvgB = 0
BestA = 0
BestB = 0
monthinit = month
yearinit = year
EndIf
once valuex = startingvalue
once pincpos = 1 //positive increment position
once nincpos = 1 //negative increment position
once optimise = 0 //initialize heuristicks engine counter (must be incremented at position start or exit)
once mode1 = 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 optimise = 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]*close)*-1)*-1)
next
stratavga = stratavga/reps //calculate current avg strategy profit
//graph (positionperf(1)*countofposition[1]*Close)*-1 as "posperf1"
//graph (positionperf(2)*countofposition[2]*Close)*-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
mode1 = 0
elsif wincounta < wincountb and stratavga < stratavgb and mode1 = 1 then
valuex = valuex - (increment*nincpos)
nincpos = nincpos + 1
mode1 = 2
elsif wincounta >= wincountb or stratavga >= stratavgb and mode1 = 1 then
valuex = valuex + (increment*pincpos)
pincpos = pincpos + 1
mode1 = 1
elsif wincounta < wincountb and stratavga < stratavgb and mode1 = 2 then
valuex = valuex + (increment*pincpos)
pincpos = pincpos + 1
mode1 = 1
elsif wincounta >= wincountb or stratavga >= stratavgb and mode1 = 2 then
valuex = valuex - (increment*nincpos)
nincpos = nincpos + 1
mode1 = 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
optimise = 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
optimise2 = optimise2 + 1
endif
once monthinit2 = month
once yearinit2 = year
If (year = yearinit2 and month = (monthinit2 + ResetPeriod2)) or (year = (yearinit2 + 1) and ((12 - monthinit2) + month = ResetPeriod2)) Then
ValueY = StartingValue2
WinCountB2 = 0
StratAvgB2 = 0
BestA2 = 0
BestB2 = 0
monthinit2 = month
yearinit2 = year
EndIf
once valuey = startingvalue2
once pincpos2 = 1 //positive increment2 position
once nincpos2 = 1 //negative increment2 position
once optimise2 = 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 optimise2 = 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(i2) > 0 then
wincounta2 = wincounta2 + 1 //increment current wincount
endif
stratavga2 = stratavga2 + (((positionperf(i2)*countofposition[i2]*close)*-1)*-1)
next
stratavga2 = stratavga2/reps2 //calculate current avg strategy profit
//graph (positionperf(1)*countofposition[1]*Close)*-1 as "posperf1-2"
//graph (positionperf(2)*countofposition[2]*Close)*-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
mode2 = 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
mode2 = 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 = besta2
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
optimise2 = 0
endif
// heuristics algorithm 2 end
//endif
elsif heuristicsalgo3 = 1 then
// Heuristics Algorithm 3 Start
//If HeuristicsAlgo3 = 1 Then
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
optimise3 = optimise3 + 1
EndIf
once monthinit3 = month
once yearinit3 = year
If (year = yearinit3 and month = (monthinit3 + ResetPeriod3)) or (year = (yearinit3 + 1) and ((12 - monthinit3) + month = ResetPeriod3)) Then
ValueZ = StartingValue3
WinCountB3 = 0
StratAvgB3 = 0
BestA3 = 0
BestB3 = 0
monthinit3 = month
yearinit3 = year
EndIf
once ValueZ = StartingValue3 // N = £/Tick
once PIncPos3 = 1 //Positive increment2 Position
once NIncPos3 = 1 //Negative increment2 Position
once optimise3 = 0 //Initialize Heuristicks Engine Counter (Must be Incremented at Position Start or Exit)
once Mode3 = 1 //Switches between negative and positive increments
//once WinCountB3 = 3 //Initialize Best Win Count
//GRAPH WinCountB3 coloured (0,0,0) AS "WinCountB2"
//once StratAvgB3 = 4353 //Initialize Best Avg St3ategy Profit
//GRAPH StratAvgB3 coloured (0,0,0) AS "StratAvgB3"
If optimise3 = Reps3 Then
WinCountA3 = 0 //Initialize current Win Count
StratAvgA3 = 0 //Initialize current Avg Strategy Profit
HeuristicsCycle = HeuristicsCycle + 1
For i3 = 1 to Reps3 Do
If positionperf(i3) > 0 Then
WinCountA3 = WinCountA3 + 1 //Increment Current WinCount
EndIf
StratAvgA3 = StratAvgA3 + (((PositionPerf(i3)*countofposition[i3]*Close)*-1)*-1)
Next
StratAvgA3 = StratAvgA3/Reps3 //Calculate Current Avg Strategy Profit
//Graph (PositionPerf(1)*countofposition[1]*Close)*-1 as "PosPerf1-2"
//Graph (PositionPerf(2)*countofposition[2]*Close)*-1 as "PosPerf2-2"///////////// 3?
//Graph StratAvgA3*-1 as "StratAvgA3"
//once BestA3 = 300
//GRAPH BestA3 coloured (0,0,0) AS "BestA3"
If StratAvgA3 >= StratAvgB3 Then
StratAvgB3 = StratAvgA3 //Update Best Strategy Profit
BestA3 = ValueZ
EndIf
//once BestB3 = 300
//GRAPH BestB3 coloured (0,0,0) AS "BestB3"
If WinCountA3 >= WinCountB3 Then
WinCountB3 = WinCountA3 //Update Best Win Count
BestB3 = ValueZ
EndIf
If WinCountA3 > WinCountB3 and StratAvgA3 > StratAvgB3 Then
Mode3 = 0 //Strategy is performing well with current variable, do not optimise
ElsIf WinCountA3 < WinCountB3 and StratAvgA3 < StratAvgB3 and Mode3 = 2 Then
ValueZ = ValueZ + (Increment3*PIncPos3)
PIncPos3 = PIncPos3 + 1
Mode3 = 1 //For strategy performing worse Next cycle optimise with positive increments
ElsIf WinCountA3 < WinCountB3 and StratAvgA3 < StratAvgB3 and Mode3 = 1 Then
ValueZ = ValueZ - (Increment3*NIncPos3)
NIncPos3 = NIncPos3 + 1
Mode3 = 2 //For strategy performing worse Next cycle optimise with negative increments
ElsIf WinCountA3 >= WinCountB3 or StratAvgA3 >= StratAvgB3 and Mode3 = 1 Then
ValueZ = ValueZ + (Increment3*PIncPos3)
PIncPos3 = PIncPos3 + 1
Mode3 = 1 //For strategy performing better Next cycle again optimise with positive increments
ElsIf WinCountA3 >= WinCountB3 or StratAvgA3 >= StratAvgB3 and Mode3 = 2 Then
ValueZ = ValueZ - (Increment3*NIncPos3)
NIncPos3 = NIncPos3 + 1
Mode3 = 2 //For strategy performing better Next cycle again optimise with negative increments
EndIf
If NIncPos3 > MaxIncrement3 or PIncPos > MaxIncrement3 Then
If BestA3 = BestB3 Then
ValueZ = BestA3
Else
If reps3 >= 10 Then
WeightedScore3 = 10
Else
WeightedScore3 = round((reps3/100)*100)
EndIf
ValueZ = round(((BestA3*(20-WeightedScore3)) + (BestB3*WeightedScore3))/20) //Lower Reps = Less weight assigned to Win%
EndIf
NIncPos3 = 1
PIncPos3 = 1
ElsIf ValueZ > MaxValue3 Then
ValueZ = MaxValue3
ElsIf ValueZ < MinValue3 Then
ValueZ = MinValue3
EndIF
optimise3 = 0
EndIf
// Heuristics Algorithm 3 End
Endif
//
BoxSizeL = ValueX
BoxSizeS = ValueY
//
renkomaxl = round(close / boxsizel) * boxsizel
renkominl = renkomaxl - boxsizel
renkomaxs = round(close / boxsizes) * boxsizes
renkomins = renkomaxs - boxsizes
//
if high > renkomaxl + boxsizel then
renkomaxl = renkomaxl + boxsizel
renkominl = renkominl + boxsizel
endif
if low < renkomins - boxsizes then
renkomaxs = renkomaxs - boxsizesoptimisation
renkomins = renkomins - boxsizes
endif
// Conditions to enter long positions
Buy N CONTRACT at renkoMaxL + boxSizeL stop
// Conditions to enter short positions
Sellshort N CONTRACT at renkoMinS - boxSizeS stop
//if percentage then
//set stop %loss 0.5
//set target %profit 2
//else
SET STOP pLOSS ValueZ
SET TARGET PPROFIT 500
//endif
//
//graphonprice renkomaxl + boxsizel coloured(0,200,0) as "renkomax"
//graphonprice renkomins - boxsizes coloured(200,0,0) as "renkomin"
graph ValueX coloured(0,255,0)
graph ValueY coloured(255,0,0)
graph ValueZ coloured(0,0,255)
