dynamic live parameter adjustment

• 05/04/2020 at 4:24 PM #129887
  Paul

  @Francesco The code handles both ways, increase & decrease, with either direction and optimisation 0-1 finds out which is best. It’s based on the last trade result.

  win -> decrease angle; loss -> increase angle with direction 0

  loss -> decrease angle; win -> increase angle with direction 1

  I thought about it to be based on ratio mfa/mae, but that’s difficult!

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  Francesco

  

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  05/05/2020 at 7:22 PM #130126
  Francesco

  Hey Paul, i’m running a short timeframe system with your dinamic live parameter adjustment with the re-start everyday option. The first 3 days in the backtast it’s everything ok, then these last two days (the system is built to operate since 9 to 22), suddenly the system stop working after some hours.

  As you can see from the image, in the first day as the previous 2 everything is normal, then when the days after is restarted it suddenly stops and does not continue where the circle indicates.
  I also tried running the system only in the “suspected days” since another hour and it stops anyway. Any clue?

  

  Francesco

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  05/05/2020 at 8:29 PM #130133
  Francesco

  Edit: Problem solved 🙂

  

  Francesco

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  05/05/2020 at 11:29 PM #130147
  Paul

  Great!

  Because of you suggestion francesco I started wondering if there are other ways. How it make it more self learning? Maybe this is a way?

  It focus on losses and you still ‘ve to pick a start direction with 0 or 1.

  for the boxsize for long (or angle long) it checks performance of the last trade,

  if it wins it sticks to the current directions/increments, however if it starts losing and when it reaches the min/max value, it swaps direction to do the opposite and so it’s less depended on a daily reset. Increments are now more important. If the minvalue->maxvalue is big with small increments it takes a while before a swap.

  that’s the idea.

  // dynamic parameter adjustment [OPPOSITE ON REACH MIN/MAX LEVEL WITH LOSSES) once periodr = 0 // [0]none;[1]day;[2]week;[3]month;[4]year (reset period) once directionl= 0 // [0] or [1]opposite once directions= 0 // [0] or [1]opposite increment = 4 minvalue = 16 maxvalue = 32 once valuex = (minvalue+maxvalue)/2 once valuey = (minvalue+maxvalue)/2 once startvalueL=24 once startvalueS=24 // main setup if periodr=0 then if barindex=0 then longperf=0 shortperf=0 endif elsif periodr=1 then if day<>day[1] then longperf=0 shortperf=0 endif elsif periodr=2 then if dayofweek=0 then longperf=0 shortperf=0 endif elsif periodr=3 then if month<>month[1] then longperf=0 shortperf=0 endif elsif periodr=4 then if year<>year[1] then longperf=0 shortperf=0 endif endif if longonmarket[1] and (not onmarket or shortonmarket) then if strategyprofit[1]>=strategyprofit[2] then longperf=longperf+positionperf(1)*100 else longperf=longperf-positionperf(1)*100 endif endif if shortonmarket[1] and (not onmarket or longonmarket) then if strategyprofit[1]>=strategyprofit[2] then shortperf=shortperf+positionperf(1)*100 else shortperf=shortperf-positionperf(1)*100 endif endif if directionl=1 then if longperf<>0 then if longperf>longperf[1] then if valuex+increment <= maxvalue then valuex=valuex+increment else valuex=valuex endif elsif longperf<longperf[1] then if valuex-increment >= minvalue then valuex=valuex-increment else valuex=valuex directionl=0 endif endif else valuex=startvalueL endif anglelong=valuex else if longperf<>0 then if longperf>longperf[1] then if valuex-increment >= minvalue then valuex=valuex-increment else valuex=valuex endif elsif longperf<longperf[1] then if valuex+increment <= maxvalue then valuex=valuex+increment else valuex=valuex directionl=1 endif endif else valuex=startvalueL endif anglelong=valuex endif if directions=1 then if shortperf<>0 then if shortperf>shortperf[1] then if valuey+increment <= maxvalue then valuey=valuey+increment else valuey=valuey endif elsif shortperf<shortperf[1] then if valuey-increment >= minvalue then valuey=valuey-increment else valuey=valuey directions=0 endif endif else valuey=startvalueS endif angleshort=valuey else if shortperf<>0 then if shortperf>shortperf[1] then if valuey-increment >= minvalue then valuey=valuey-increment else valuey=valuey endif elsif shortperf<shortperf[1] then if valuey+increment <= maxvalue then valuey=valuey+increment else valuey=valuey directions=1 endif endif else valuey=startvalueS endif angleshort=valuey endif graph directions coloured(200,0,0) graph directionl coloured(0,200,0) graph valuex coloured(0,200,0) as "long value" graph valuey coloured(200,0,0) as "short value"

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  // dynamic parameter adjustment [OPPOSITE ON REACH MIN/MAX LEVEL WITH LOSSES) once periodr   = 0 // [0]none;[1]day;[2]week;[3]month;[4]year (reset period) once directionl= 0 // [0] or [1]opposite once directions= 0 // [0] or [1]opposite   increment =  4 minvalue  = 16 maxvalue  = 32   once valuex =  (minvalue+maxvalue)/2 once valuey =  (minvalue+maxvalue)/2   once startvalueL=24 once startvalueS=24   // main setup if periodr=0 then if barindex=0 then longperf=0 shortperf=0 endif elsif periodr=1 then if day<>day[1] then longperf=0 shortperf=0 endif elsif periodr=2 then if dayofweek=0 then longperf=0 shortperf=0 endif elsif periodr=3 then if month<>month[1] then longperf=0 shortperf=0 endif elsif periodr=4 then if year<>year[1] then longperf=0 shortperf=0 endif endif if longonmarket[1] and (not onmarket or shortonmarket) then if strategyprofit[1]>=strategyprofit[2] then longperf=longperf+positionperf(1)*100 else longperf=longperf-positionperf(1)*100 endif endif if shortonmarket[1] and (not onmarket or longonmarket) then if strategyprofit[1]>=strategyprofit[2] then shortperf=shortperf+positionperf(1)*100 else shortperf=shortperf-positionperf(1)*100 endif endif   if directionl=1 then if longperf<>0 then if longperf>longperf[1] then if valuex+increment <= maxvalue then valuex=valuex+increment else valuex=valuex endif elsif longperf<longperf[1]  then if valuex-increment >= minvalue then valuex=valuex-increment else valuex=valuex directionl=0 endif endif else valuex=startvalueL endif anglelong=valuex else if longperf<>0 then if longperf>longperf[1] then if valuex-increment >= minvalue then valuex=valuex-increment else valuex=valuex endif elsif longperf<longperf[1] then if valuex+increment <= maxvalue then valuex=valuex+increment else valuex=valuex directionl=1 endif endif else valuex=startvalueL endif anglelong=valuex endif   if directions=1 then if shortperf<>0 then if shortperf>shortperf[1] then if valuey+increment <= maxvalue then valuey=valuey+increment else valuey=valuey endif elsif shortperf<shortperf[1] then if valuey-increment >= minvalue then valuey=valuey-increment else valuey=valuey directions=0 endif endif else valuey=startvalueS endif angleshort=valuey else if shortperf<>0 then if shortperf>shortperf[1] then if valuey-increment >= minvalue then valuey=valuey-increment else valuey=valuey endif elsif shortperf<shortperf[1] then if valuey+increment <= maxvalue then valuey=valuey+increment else valuey=valuey directions=1 endif endif else valuey=startvalueS endif angleshort=valuey endif   graph directions coloured(200,0,0) graph directionl coloured(0,200,0)     graph valuex coloured(0,200,0) as "long value" graph valuey coloured(200,0,0) as "short value"

   

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  Francesco, nonetheless, eckaw

  

  Paul

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  05/06/2020 at 10:54 AM #130202
  Francesco

  I encountered the problem again, I will try to test this new concept … thanks as usual 🙂

  

  Francesco

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  05/06/2020 at 11:46 AM #130212
  Paul

  Francesco wrote:

  encountered the problem again

  The first thing I think of is that you use used that little snippet and the value for losses  is set to 1 (%), so it stops trading after cumulative losses. It could be something else of-course and maybe it’s solved with above code.

  

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  05/06/2020 at 12:28 PM #130217
  Francesco

  The problematic was related to te bullish/bearish detection. Probably the exponential average values reach in some days, through the dynamic adjustment, a certain value that not opens new trades.

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  Francesco

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  05/06/2020 at 3:01 PM #130250
  Francesco

  Ok, my bad, the problem was not related to a “stuck” in the average values…

  I noticed that removing these lines there’s no holes; but it brings the system to more lossess

  if longonmarket[1] and (not onmarket or shortonmarket) then if strategyprofit[1]>=strategyprofit[2] then longperf=longperf+positionperf(1)*100 else longperf=longperf-positionperf(1)*100 endif endif if shortonmarket[1] and (not onmarket or longonmarket) then if strategyprofit[1]>=strategyprofit[2] then shortperf=shortperf+positionperf(1)*100 else shortperf=shortperf-positionperf(1)*100 endif endif

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  if longonmarket[1] and (not onmarket or shortonmarket) then if strategyprofit[1]>=strategyprofit[2] then longperf=longperf+positionperf(1)*100 else longperf=longperf-positionperf(1)*100 endif endif   if shortonmarket[1] and (not onmarket or longonmarket) then if strategyprofit[1]>=strategyprofit[2] then shortperf=shortperf+positionperf(1)*100 else shortperf=shortperf-positionperf(1)*100 endif endif

  You was right 🙂

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  05/15/2020 at 3:48 PM #131786
  Francesco

  Hey Paul or everyone else, i would like to know if and how it’s possible to run an automatic system for a certain time range without using effective money but having it opening positions in “background” (we talked about this time ago in the renk discussion). Then after a time trigger (or a strategyprofit trigger) starting using capital for the position opening.

  

  Francesco

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  05/15/2020 at 4:56 PM #131801
  juanj

  This is tricky but I have done it before. Basically you need to ‘virtually’ take the positions using the same rules and then keep track of their virtual performance. I use variables called IsLong and IsShort along with variables called LongEntryLevel and ShortEntryLevel

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  05/15/2020 at 5:33 PM #131807
  swedshare

  Francesco, could this be something you’re looking for:

  https://www.prorealcode.com/blog/learning/how-to-improve-a-strategy-with-simulated-trades-1/

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  05/15/2020 at 7:53 PM #131825
  Vonasi

  There is also this topic that might be of interest:

  https://www.prorealcode.com/topic/simulated-trading/

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  05/15/2020 at 9:40 PM #131834
  zilliq

  swedshare wrote:

  Francesco, could this be something you’re looking for:

  https://www.prorealcode.com/blog/learning/how-to-improve-a-strategy-with-simulated-trades-1/

  The very good code of Nicolas is only for short 😉

  

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  06/30/2020 at 7:59 PM #137809
  Francesco

  I was thinking in the case of low tf systems (>30) in order to avoid an hypotetical overfitting of the ML values (max,min,start): what if (using the daily reset mode) we put yesterday’s optimized parameters for tomorrow operativity and going on like this? That reduces the possibility to have ML overfitting based on the fact that the markets does not drastically changes day by day. With this kind of solution we can evolve the ML values in parallel to the changes of the market. Have everyone tried to run a system for a week using last week 200k ML values vs a system for a week with daily optimized values based on yesterday?

  I don’t know if i explained myself well, but i hope this can be understandable and interesting 🙂

  

  Francesco

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  07/20/2020 at 4:09 PM #139693
  Francesco

  Sorry if I am clogging this topic continuously but I need a suggestion about an idea.

  I would like to know if it’s possible to create a dynamic parameter adjustment like this:

  I choose an interval for a parameter of my strategy (for example 10-1000) like the original Paul’s dynamic live parameter adjustment code.
  Then, the machine learning algorithm after the closing of the first trade of the day select the most profitable parameter on it between the interval and fix it on the strategy for the rest of the day (so there’s not a continuous fixing trade by trade and not by starting from a parameter and moving following a selected increment value); then there’s the reset for the day after. If it’s possible the first trade of the day should be simulated somehow in order to avoid losses with the vonasi’s simulated trading hint, but it’s not fundamental, I can also achieve a loss starting from a random parameter, the important is having the best one of the first trade fixed for the rest of the day.

  Is something like this possible? How? I would be really grateful if you can help me because this could be very important for a strategy that I’m developing 🙂

  

  Francesco

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