Timeframe optimization during backtests

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  • 04/08/2020 at 9:42 AM #125174 quote
    MAKSIDE
    Participant
    Veteran

    Hi

    do you know if it possible to optimize the parameter including in the TF coding ?

    timeframe(x minutes,updateonclose)

    if not, is there a roundabout way of doing it ?

    04/08/2020 at 10:35 AM #125183 quote
    robertogozzi
    Moderator
    Master

    No, variables are not allowed.

    04/08/2020 at 11:09 AM #125194 quote
    MAKSIDE
    Participant
    Veteran

    Thanks

    10/20/2020 at 11:55 AM #147888 quote
    MAKSIDE
    Participant
    Veteran

    i come back about this topic..

    would it be possible to add it in the future evolution of PRT ?

    It seems to me that it would be great to have it in order to determine the best timeframes for a strategy

    or if not possible, the possibility to encapsulate the timeframes in conditions (

    choice = X (parameter value for BT)

    if choice = 1  then

    timeframe (1 hours,..)

    else if choice = 2 then

    timeframe (2 hours,..)

    endif

    *************

    OR

    timeframe (X hours,..)

    for example

    Paul thanked this post
    10/20/2020 at 12:56 PM #147895 quote
    robertogozzi
    Moderator
    Master

    You may suggest it at https://www.prorealcode.com/topic/centralization-of-queries-and-suggestions-on-prorealtime/

    10/20/2020 at 7:37 PM #147959 quote
    pableitor
    Participant
    Master

    i had this same problem and i fixed it with this kludge

    timeframe(5m)
x5 =  ExponentialAverage[9](close)
timeframe(15mn)
x15 = ExponentialAverage[9](close)
timeframe(60mn)
x60 = ExponentialAverage[9](close)
timeframe(default)
TF = 15 //TF flag
if TF = 15 then   
EMA = x15
//...
endif
    MAKSIDE and Paul thanked this post
    10/22/2020 at 2:08 PM #148090 quote
    MAKSIDE
    Participant
    Veteran
    pableitor wrote:

    i had this same problem and i fixed it with this kludge


    what a great idea, thx for sharing

    thus, it’s just more work to adapt all conditions of each timeframe (and not only an EMA..) but  WF on the TF flag parameter is possible… 😀

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Timeframe optimization during backtests


ProOrder: Automated Strategies & Backtesting

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MAKSIDE @makside Participant
Summary

This topic contains 6 replies,
has 3 voices, and was last updated by MAKSIDE
5 years, 4 months ago.

Topic Details
Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 04/08/2020
Status: Active
Attachments: No files
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