dynamic live parameter adjustment

Paul · Mon, 02 Mar 2020 16:15:10 +0000

some first code, not sure if it’s correct completely, but it looks the way i’am after. I want that the code automatically adjust a few parameters of a strategy if it determines that long or short doesn’t work anymore. It’s like live adjustments within the margins set. First off I needed the data to work with so this is a start. // period reset once periodr=1 //0all;1day;2week;3month;4year 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 graph longperf coloured(0,0,255,255) as "long performance" graph shortperf coloured(255,0,0,255) as "short performance"

This topic has 31 replies, 8 voices, and was last updated 3 years ago by Francesco.

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07/20/2020 at 6:14 PM #139700

Paul

So basically you want a do a simulated backtest for the first trade, take the best parameter and apply that for the rest of the day. But there’s a problem, because the best parameter could be at 10am or maybe the best parameter is the one who prevented entry early and takes a late entry & win at 16u.

To cover above problem, you could take the best parameters for long & short before trading hours and apply that on the active trading hours.

But I think it can’t be done automatically and needs to be done manually with a quick backtest for 1 day between certain hours.

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Francesco

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07/20/2020 at 6:34 PM #139701

Francesco

The simulation of the first trade is not important, i can easily choose a parameter to run it (or maybe use as parameter for the first trade the one that was “choosen” for the previous day by the ML); i just need the best value of the first trade fixed for the rest of the day.

I understood what is the problem that you presented, but i know well the strategy and there will always be at least a trade in the first 2 hours of the day with any of the values between the interval; and that value that made the strategy being profitable for the first trade should be perfect for the rest of the day (i can easily do that manually waking up early in the morning, but it could be amazing automatize it).

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dynamic live parameter adjustment

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