Fantasio2020 whatever  number of variables you prefer and works for you.

this is the code as I’ve it now.

Also interesting is to optimise the direction 1 to 6. The reset is set to daily here.

once value1a=6   // 6
once value2a=8   // 8
once heuristicsengine=1
// heuristics engine
if heuristicsengine then

StartingValue   = 4
increment       = 1 //5, 20, 10
maxincrement    = 2 //5, 10 limit of no of increments either up or
reps            = 1  //1 number of trades to use for analysis //2

minvalue        = 1 //5, minimum allowed value
maxvalue        = 10 //20, 300, 150 //maximum allowed 12

StartingValue2 = 10
increment2      = 1 //5, 10
maxincrement2   = 2 //1, 30 limit of no of increments either up/down //4
reps2           = 1  //1, 2 nos of trades to use for analysis //3

minvalue2       = 1 //5, minimum allowed value
maxvalue2       = 10 //20, 300, 200 maximum allowed value

reset           = 1
weighting       = 1

direction=1

if direction=1 then
a1=0
a2=0
a3=0
a4=0
elsif direction=2 then
a1=1
a2=0
a3=1
a4=0
elsif direction=3 then
a1=0
a2=1
a3=0
a4=1
elsif direction=4 then
a1=1
a2=0
a3=0
a4=1
elsif direction=5 then
a1=0
a2=1
a3=1
a4=0
elsif direction=6 then
a1=1
a2=1
a3=1
a4=1
endif

if reset=1 then
if intradaybarindex=0 then
ValueX = StartingValue
Valuey = StartingValue2
WinCountB = 0
WinCountB2 = 0
StratAvgB = 0
StratAvgB2 = 0
BestA = 0
BestA2 = 0
BestB = 0
BestB2 = 0
wincounta = 0 //initialize current win count
stratavga = 0 //initialize current avg strategy profit
wincounta2 = 0 //initialize current win count
stratavga2 = 0 //initialize current avg strategy profit
endif
else
once ValueX = StartingValue
once Valuey = StartingValue2
once WinCountB = 0
once WinCountB2 = 0
once StratAvgB = 0
once StratAvgB2 = 0
once BestA = 0
once BestA2 = 0
once BestB = 0
once BestB2 = 0

endif

heuristicscyclelimit = 2
 
if reset=1 then
if intradaybarindex=0 then
heuristicscycle = 0
endif
else
once heuristicscycle = 0
endif
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
else
once valuex = startingvalue
once valuey = startingvalue2
endif
 
if heuristicsalgo1 = 1 then
 
//heuristics algorithm 1 start
if (onmarket[1] = 1 and onmarket = 0) or (longonmarket[1] = 1 and longonmarket and countoflongshares < countoflongshares[1]) or (longonmarket[1] = 1 and longonmarket and countoflongshares > countoflongshares[1]) or (shortonmarket[1] = 1 and shortonmarket and countofshortshares < countofshortshares[1]) or (shortonmarket[1] = 1 and shortonmarket and countofshortshares > countofshortshares[1]) or (longonmarket[1] and shortonmarket) or (shortonmarket[1] and longonmarket) then
optimise = optimise + 1
endif
 
once valuex  = startingvalue
once pincpos = a1 //positive increment position
once nincpos = a2 //negative increment position
once optimise = 0 //initialize heuristicks engine counter (must be incremented at position start or exit)
once mode1 = 0 //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

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 = min((valuex + (increment*pincpos)),maxvalue)
pincpos = pincpos + 1
mode1 = 1
elsif wincounta < wincountb and stratavga < stratavgb and mode1 = 2 then
valuex = min((valuex + (increment*pincpos)),maxvalue)
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 weighting=1 then
If reps >= 10 Then
WeightedScore = 10
Else
WeightedScore = round((reps/100)*100)
EndIf
ValueX1 = min(round(((BestA*(20-WeightedScore)) + (BestB*WeightedScore))/20),maxvalue) //Lower Reps = Less weight assigned to Win%
valuex=max(minvalue,valuex1)
EndIf
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) or (longonmarket[1] = 1 and longonmarket and countoflongshares < countoflongshares[1]) or (longonmarket[1] = 1 and longonmarket and countoflongshares > countoflongshares[1]) or (shortonmarket[1] = 1 and shortonmarket and countofshortshares < countofshortshares[1]) or (shortonmarket[1] = 1 and shortonmarket and countofshortshares > countofshortshares[1]) or (longonmarket[1] and shortonmarket) or (shortonmarket[1] and longonmarket) then
optimise2 = optimise2 + 1
endif
 
once valuey = startingvalue2
once pincpos2 = a3 //positive increment position
once nincpos2 = a4 //negative increment position
once optimise2 = 0 //initialize heuristicks engine counter (must be incremented at position start or exit)
once mode2 = 0 //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

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 = min((valuey + (increment2*pincpos2)),maxvalue2)
pincpos2 = pincpos2 + 1
mode2 = 1
elsif wincounta2 < wincountb2 and stratavga2 < stratavgb2 and mode2 = 2 then
valuey = min((valuey + (increment2*pincpos2)),maxvalue2)
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 weighting=1 then
If reps2 >= 10 Then
WeightedScore2 = 10
Else
WeightedScore2 = round((reps2/100)*100)
EndIf
ValueY1 = min(round(((BestA2*(20-WeightedScore2)) + (BestB2*WeightedScore2))/20),maxvalue2)
valuey=max(minvalue2,valuey1)
//Lower Reps = Less weight assigned to Win%
EndIf
endif
nincpos2 = 1
pincpos2 = 1
elsif valuey > maxvalue2 then
valuey = maxvalue2
elsif valuey < minvalue2 then
valuey = minvalue2
endif
 
optimise2 = 0
endif
endif
// heuristics algorithm 2 end
value1=valuex
value2=valuey
else
value1=value1a
value2=value2a
endif

ullle73  what errors?

Paul’s code above is not a complete Algo with Buy and Sell etc.

I have a doubt, and I am not joking, nor hesitating.

You are dealing with a very interesting topic, but with so many explanations, so many codes, and so many posts it is impossible for me to know if there is something useful.

I don’t know, it would be interesting for someone to explain in a single post what the code is for and if there is any specific code that is really useful.

I have lost myself.

Fran55

I was skeptical too and I’ve made a quick and dirty test. I’ve put together a simple LONG only code if SAR>Close and EMA21>EMA8 then buy 1 contract (Nasdaq cash 1€, 15 min TF) and exit if SAR<Close and Close<EMA8. This strategy run on a Tick by Tick mode over the period 10 Oct. 2018 to 30 Oct. 2020 (2 years) did generate a Win Rate 40.04%, Profit Ratio 1.09x and Capital gain 2048€ (attached results and ITF file).

I’ve added a simple ML code on 1 variable (courtesy of juanj) that you can find at (https://www.prorealcode.com/topic/machine-learning-in-proorder/), and the results are better: Win Rate 40.1%, Profit Ratio 1.2x and Capital gain 3057€ (attached results and ITF file). The increment in € absolute gain is +50%!

You can also note that the number of losing positions have been reduced from 950 to 814 and the Drawdown has been reduced from 1817€ to 1161€. The biggest loss went from -191€ to -113€.

So, even though I didn’t write the ML code and have nothing to sell 🙂 it seems like it’s working !

Others have had different experience?

Test-SAR-EMA-woML1.png Test-SAR-EMA-ML2.png NQ-Test-ML-SAR-wML.itf NQ-Test-ML-SAR-woML.itf

@Fran55

Only post in the language of the forum that you are posting in. For example English only in the English speaking forums and French only in the French speaking forums.

Thank you 🙂