//-------------------------------------------------------------------------
// 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"
.
