Machine Learning in ProOrder ProRealTime
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<p class=”p1″><span class=”s1″>Cheers, I couldn’t have done it without GraHal’s tip to use a text comparison website (to compare Juanj’s code with my often non working “exact copy” code that turned out more often than not, not to be so exact or a copy). </span></p> Short and Long Boxsizes: That would certainly make logical sense, have larger range boxes for strong uptrends to capture larger chunks of profit and then a smaller shorter range box for the minor corrections. Be interesting to test. I figured out why 1M ML2 CycLimRes v2 didn’t trade, and excuse the brutal editing of your sophisticated code, but I just had to go back step by set to first principles to see what was stopping it from trading. First cut was the stop loss – made no difference, as still no trades. Then I took out the “flat before,” still no difference, but when I took out “ctime” it took trades but not profitably and also GraphY was flat whereas Value X was being optimised. More alterations to the settings fixed it and although it’s still taking plenty of trades despite going back to some similar settings, it’s not that profitable. Putting back the stop loss code cut the nos of trades from 233 to just 14. As I said it’d be really interesting to test it more to see if the Long/Short boxsize logic works. Altering setting definitely caused some tbt warnings. Some instruments even this attached version would not trade on like Wheat or Gold.Paul thanked this postI’m not sure ValueY is “broken” when it flatlines, I think it’s more to do with the settings that the code. Let me take a look at the code above. Meanwhile can you please check the logic of your Long/Short BoxSize idea with my very simple entry conditions in Renko ML2 v3 below because the results are good not just on the Dow and £/$ but also on other instruments. I like to think a system is robust if it’s simple and can be applied to other markets particularly when you don’t have to alter settings to adjust for volatility. Great job.
Edit: What does adding once ValueX = StartingValue etc, do that it wasn’t doing before that code was added? Cheers.//------------------------------------------------------------------------- // Main code : Nneless Renko DJI 1Month v3 Machine Learning (ML2) //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 //defparam flatbefore = 080000 //defparam flatafter = 215500 // //once tradetype = 1 // [1]long&short;[2]long;[3]short // //once reenter = 1 //once positionperftype = 1 // [0] reenter always; [1] reenter positionperf < 0 //ctime=time>=080000 and time<180000 n=1 HeuristicsCycleLimit = 2 once HeuristicsCycle = 0 once HeuristicsAlgo1 = 1 once HeuristicsAlgo2 = 0 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 Then optimise = optimise + 1 Endif //Settings 1 & 2 StartingValue = 40 //5, 100, 10 Boxsize Increment = 10 //5, 20, 10 MaxIncrement = 10 //5, 10 Limit of no of increments either up or down Reps = 2 //1 Number of trades to use for analysis //2 MaxValue = 200 //20, 300, 150 //Maximum allowed value MinValue = 5 //5, Minimum allowed value StartingValue2= 40 //5, 100, 50 Stop Loss Increment2 = 10 //5, 10 MaxIncrement2 = 10 //1, 30 Limit of no of increments either up/down //4 Reps2 = 2 //1, 2 Nos of trades to use for analysis //3 MaxValue2 = 200 //20, 300, 200 Maximum allowed value MinValue2 = 5 //5, Minimum allowed value 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]*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 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 Then optimise2 = optimise2 + 1 Endif //Settings 2 once ValueY = StartingValue2 once PIncPos2 = 1 //Positive Increment Position once NIncPos2 = 1 //Negative Increment 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]*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 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 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 - boxSizeS renkoMinS = renkoMinS - boxSizeS ENDIF // //c1 = renkoMaxL + boxSizeL //c2 = renkoMinS - boxSizeS // Conditions to enter long positions //If c1 then Buy N CONTRACT at renkoMaxL + boxSizeL stop //EndIf // Conditions to enter short positions //If c2 then Sellshort N CONTRACT at renkoMinS - boxSizeS stop //EndIf // Stops and targets //SET STOP %loss 0.5 Set stop ptrailing 50 //100 SET TARGET PPROFIT 500 //Orig 150 //Best 500 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) //graphonprice newsl coloured(0,0,255,255) as "trailingstop atr"
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Topic Details
| Forum: | ProOrder: Automated Strategies & Backtesting |
| Language: | English |
| Started: | 08/06/2017 |
| Status: | Active |
| Attachments: | 207 files |
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