Machine Learning in ProOrder ProRealTime

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  • #42568 Report

    I would like to start a discussion around the possibilities of making use of machine learning in ProRealTime. I have personally experimented with some heuristics algorithms in ProOrder but find it very limiting when having to optimize more than one variable. Here is an snippet of the code I use to optimize an variable called periods (i.e. Average[periods]):

    Please share your own experience. @Wing @Nicolas I know you said you have also experimented with this, would you mind to share?

    3 users thanked author for this post.
    #42572 Report
    #42579 Report

    Will follow the thread. Have a lot of work deadlines to deal with but in 4-5 days I may be able to share something I have been working on previously.

    Thank you @Noobywan for posting my thread. The project I plan to share is not related to that one.

    #42654 Report


    Thanks for this code snippet about machine learning, it is inspiring! I’m currently on leave, so I can’t help a lot, I’m spending only 10 minutes on day on website 🙂

    I made code indentation for a better comprehension of what you done, but I’m still thinking a part is missing? Sorry I’m confuse about it, but how do you know the “periods” you found with the code would have been better than the one used in the past? Would you mind adding comments starting from line 20?

    #42694 Report

    Latest version of my Heuristics Algorithm (with comments):


    1 user thanked author for this post.
    #42695 Report

    There was an Syntax error in the above piece of code, here is the corrected and indented version:


    1 user thanked author for this post.
    #42969 Report

    @wing hope you have met those deadlines 🙂

    I’m looking forward to the code you mentioned you were working on previously.


    #43041 Report

    Alright I have attached the code to this reply. It bears resemblance to the algorithm you showcase. This is a large piece of code, including a strategy, and an attached indicator which itself calls a whole bunch of indicators. Even though it relies on machine learning, I have optimized it previously and introduced time settings etc. to work on the DAX 30m timeframe. I think it has positive performance on higher timeframes too. I last worked on this in October or something, so everything after that is OOS. It has not performed good since then, but not bad either. Nevertheless the concept I want to showcase is explained by me in this thread:

    The system’s indicator calls a bunch of other indicators, and records the average value of these different indicators before a positive or negative move. Using this it constantly produces a prediction for future price. Since market regimes change, the history of indicator values is weighted to give more importance to recent market behvaiour.

    You will find no comments in the code itself, but there is code in the link above you can view for better understanding.. This is experimental code I have not cleaned up, so there are features/stuff not currently in use still included. With what I know now I can improve on it a lot, maybe with the help of your ideas.

    1. ML-MM2-Wing.itf
    1 user thanked author for this post.
    #43059 Report

    Great topic – I’d love to stay in and develop the conversation.

    #43072 Report

    Thanks a lot @Wing, I’d love to take part of further development when I’ll be back and operational… 🙂

    1 user thanked author for this post.
    #43080 Report

    @wing thank you for your contribution, I haven’t gone through your code yet but looking forward to seeing what I can learn from it.

    I’m very excited as to the potential of what we can achieve if we all collaborate.

    As I read your post I was thinking of the concept of maybe using indicators as a form of dynamic array. Not sure yet how that will work but sure I will get some insights from your work.

    Below is the latest version of my heuristics algorithm, it now has the ability to base it’s increments more towards the better performing side, but still switch if performance declines.


    #43081 Report

    @Nicolas I spent some time indenting the above code in the ‘Insert PRT Code’ screen to display better (same as my previous post), but seems the formatting was lost 🙁

    Can you maybe assist in correcting it?

    #121059 Report

    I am sharing this algorithm in the hopes that this community will help to improve it.

    The algorithm can replace and dynamically adjust any variable set equal to it’s output variable called ‘ValueX’ (i.e. Average[Valuex](close)

    The input and parameters to optimize are:

    StartingValue //Initial or value used
    ResetPeriod //Specify no of months after which to reset optimization Increment = 20
    MaxIncrement //Limit of no of increments either up or down
    Reps  //Number of trades to use for analysis
    MaxValue = //Maximum allowed value
    MinValue = increment //Minimum allowed value


    3 users thanked author for this post.
    #121064 Report

    This is CRAZY!

    #121065 Report

    No this was only the beginning 🙂 – But there is only so much one can share

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