Optimisation Fails?
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Can anyone think of why this System won’t optimise the c2 entry condition?
Dow Daily / 26th Aug 2010 – 12th Oct 2017 / 3.8 spread
I actually am not sure how to code it so it takes a long trade after one day of no Bear condition (return to neutral, no Bulls, no Bears) having been preceded by eg, 5, days of a Bear condition? (Other than laboriously programming using, if indicator2[5] = -1, and indicator2[4]= -1, and indicator2[3]= -1, and indicator2[2]= -1, and indicator2[1]= -1 are ALL Bears) AND this is then followed by an end of Bear condition (indicator2=0) (for one day) before the Long trade is then initiated?
I was attempting to optimise the number of days prior that a Bear condition needs to be in place (from 1 to 300 days), before a long trade is initiated but that doesn’t mean it’s continuously been in Bear territory for ALL those days which is what I actually want.
// Definition of code parameters DEFPARAM CumulateOrders = False // Cumulating positions deactivated capital = 100000 + strategyprofit //Current profit made by the closed trades of the running strategy. n = capital / close // Conditions to enter long positions ignored, indicator1, ignored = CALL "Bull/Bear 20% ALMA"(close) c1 = (indicator1 = 0) // Bear = Off ignored, indicator2, ignored = CALL "Bull/Bear 20% ALMA"(close) c2 = (indicator2[a] = -1) // Bear = On IF c1 AND c2 THEN BUY n PERPOINT AT MARKET ENDIF IF BarIndex - TradeIndex = 30 Then SELL at Market EndIFThanks in advance for any ideas or help.
Right, I’m not sure why yours is behaving like that GraHal?
Mine, it turns out didn’t like the date range Aug 2010 to Oct 2017, but when I optimise the system for the Trump rally Nov 2016 to Jan 2018 it optimises and shows 149 days is optimal time to hold before exiting a trade and produces 30k profit BUT… then I use 120 days as it seems to be a number the optimisation results are missing and don’t have a value for (pls see Excel screenshot) and the system makes £100k?
Why does it have “missing” values between 1 and 300 days?
So I set it to exactly 149, the “optimal” nos. of days to exit the trades, (12 of them) and again I get a higher profit (£105k Gain).
I’ve not seen or noticed the Optimiser do this before? Can anyone figure out what it’s doing or why as the code seems “simple” enough?
Cheers.
Thanks for making the code more efficient Vonasi and showing me that Summation code! This “buy on the Bear spike” with the strategy profit trade size algo did £159k on the Dax – same dates – with 38% Drawdown, typical of trend following systems. See attached. The trade exit = 100 days was a random figure and the first I tried.
Kempen’s head of asset allocation said he had observed that several pension funds had already switched to quarterly rebalancing. However, he argued that rebalancing only once a year would be more beneficial in may cases.
I’m not saying there is a link it was just something I read.
c2 = (summation[a](indicator1 = –1) = a)Hi @Vonasi,
When I tested the Summation optimisation as above it produced no trades? Pls see image.
If I remove the = a but keep the last bracket it works.. for a while then I get the optimisation error? (Roberto was referring above to some issues being the possible cause of the optimisation problem. I’m still not sure what it is exactly about this system though that stops it being optimised half way through? The Bull/Bear indicator code has an offset value of 0.85?Do you or anyone else know why it seem to optimise and then at other times not? The system below in this post optimised okay, but the one in post https://www.prorealcode.com/topic/optimisation-fails/#post-95102
won’t optimise? I have tried two version of the indicator one with the 20% condition and one without but that makes no difference it still won’t optimise…
Ideally I want to be able to optimise the number of days for a Bear before entering and the number of days before exiting (from 1 to 100 days) but can’t?
Cheers,
// Definition of code parameters DEFPARAM CumulateOrders = False // Cumulating positions deactivated capital = 100000 + strategyprofit //Current profit made by the closed trades of the running strategy. n = capital / close // Conditions to enter long positions ignored, indicator1, ignored = CALL "Bull/Bear 20% ALMA"(close) c1 = (indicator1 = 0) // Bear = 0 c2 = (summation[a](indicator1 = -1) = a) IF c1 AND c2 THEN BUY n PERPOINT AT MARKET ENDIF IF BarIndex - TradeIndex = 100 Then SELL at Market EndIF//Bear 20% w. ALMA // 20% Bull/Bear Market increase/decrease in Prices //DEFPARAM CalculateOnLastBars = 5000 Period = 50 //start with 50 periods Series = customclose FOR j = 1 TO 3 Sigma = 6 Offset = 0.85 m = ROUND(Offset * (Period - 1)) s = Period / Sigma WtdSum = 0 CumWt = 0 FOR k = 0 TO Period - 1 DO Wtd = EXP(-((k - m) * (k - m)) / (2 * s * s)) WtdSum = WtdSum + Wtd * Series[Period - 1 - k] CumWt = CumWt + Wtd NEXT IF CumWt <= 0 THEN AFR = Series ELSE AFR = WtdSum / CumWt ENDIF IF j = 1 THEN ShortMA = AFR ELSIF j = 2 THEN MediumMA = AFR ELSE LongMA = AFR ENDIF Period = Period * 2 //double periods NEXT // 20% Bull Market increase in Prices BullC1 = Close[0] > ShortMA BullC2 = Close[0] > MediumMA BullC3 = Close[0] > LongMA BullC4 = Close[0] >= (Close[200] * 1.2) // 20% Bear Market decrease in Prices BearC5 = Close[0] < ShortMA BearC6 = Close[0] < MediumMA BearC7 = Close[0] < LongMA BearC8 = Close[0] <= (Close[200] * 1.2) Return BullC1 and BullC2 and BullC3 and BullC4 as "Bull Market", -(BearC5 and BearC6 and BearC7 and BearC8) as "Bear Market",0
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Topic Details
| Forum: | ProOrder: Automated Strategies & Backtesting |
| Language: | English |
| Started: | 03/30/2019 |
| Status: | Active |
| Attachments: | 5 files |
