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04/26/2020 at 2:02 PM
#128205
I’m not sure ValueY is “broken” when it flatlines, I think it’s more to do with the settings that the code. Let me take a look at the code above.
Meanwhile can you please check the logic of your Long/Short BoxSize idea with my very simple entry conditions in Renko ML2 v3 below because the results are good not just on the Dow and £/$ but also on other instruments. I like to think a system is robust if it’s simple and can be applied to other markets particularly when you don’t have to alter settings to adjust for volatility. Great job.
Paul/Bard Renko ML2 Long/Short BoxSize with simplifies Entries and Exits
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//------------------------------------------------------------------------- // 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" |
Edit: What does adding once ValueX = StartingValue etc, do that it wasn’t doing before that code was added? Cheers.
