Sliding Window Winrate

• 08/03/2023 at 11:51 PM #218567
  taklause

  Hello altogether,

  for my strategy I want to reward the position size if the current winrate is above a certain value and punish otherwise.

  I have found the code to implement it over all trades that have been done so far with this:

  IF STRATEGYPROFIT> STRATEGYPROFIT[1] THEN
  WinningTrades = WinningTrades + 1
  ENDIF

  However, there are some bad “times” in the strategy which go unheard due to the bigger amount of positive trades. This is why I wanted to implement the sliding window approach.

   

  IF AllTrades > SlidingWindowWinRate THEN
  FOR runner = 1 TO SlidingWindowWinRate DO
  IF STRATEGYPROFIT[runner] < STRATEGYPROFIT[1 + runner] THEN
  WinningTradesSlidingWindow = WinningTradesSlidingWindow + 1
  ENDIF
  NEXT
  ENDIF

  So far I have learned that looping over STRATEGYPROFIT does not work due to obvious reasons ;). Has someone done that so far?

  Thanks in advance,

  Daniel

  

  taklause

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  08/04/2023 at 9:16 AM #218576
  taklause

  For others who want to achieve the same :

   

  IF MyProfitSoFar > MyProfitSoFar[1] THEN WinningTrades = WinningTrades + 1 $SlidingWindowTrades[lastset($SlidingWindowTrades)+1] = 1 ENDIF IF MyProfitSoFar < MyProfitSoFar[1] THEN $SlidingWindowTrades[lastset($SlidingWindowTrades)+1] = 0 ENDIF winningTradesVariable = 0 FOR i = LASTSET($SlidingWindowTrades) DOWNTO LASTSET($SlidingWindowTrades)-SlidingWindowWinRate do IF $SlidingWindowTrades[i]THEN winningTradesVariable = winningTradesVariable + 1 ENDIF NEXT

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15

  IF MyProfitSoFar > MyProfitSoFar[1] THEN WinningTrades = WinningTrades + 1 $SlidingWindowTrades[lastset($SlidingWindowTrades)+1] = 1 ENDIF   IF MyProfitSoFar < MyProfitSoFar[1] THEN $SlidingWindowTrades[lastset($SlidingWindowTrades)+1] = 0 ENDIF   winningTradesVariable = 0 FOR i = LASTSET($SlidingWindowTrades) DOWNTO LASTSET($SlidingWindowTrades)-SlidingWindowWinRate do IF $SlidingWindowTrades[i]THEN winningTradesVariable = winningTradesVariable + 1 ENDIF NEXT

   

  

  taklause

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  08/04/2023 at 10:11 AM #218581
  Nicolas

  taklause wrote:

  looping over STRATEGYPROFIT does not work due to obvious reasons

  You can loop over STRATEGYPROFIT values, just like a price consant or any other variables, but since it updates only when it has changes, the offset in brackets correspond to the bars offset from now, so there is no way to know how to get the last 10 changes just by making a loop “FOR I = 1 TO 10”

   

  1 user thanked author for this post.

  taklause

  

  Nicolas

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  08/04/2023 at 8:38 PM #218610
  taklause

  Turns out that with my solution that I posted above,  I receive the following error if I want to run it in production/demo (not in backtest).

  … exceeds the limit of 1,000,000 in an array

  So I guess I start at square 1.

  How to either fix the broken array?

  How to calculate the sliding window winrate otherwise?

  Regards

  

  taklause

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  08/05/2023 at 7:48 AM #218613
  JS

  Hi,

  You can try to start the code with resetting the array…

  UnSet($SlidingWindowTrades)

  

  JS

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