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I played around with settings Paul and simplified the entry and exit and re-added Reset Period for better performance. I’ll check out your latest v4 TS tonight or tomorrow. Cheers for posting it!
Is Once ValueX and Once ValueY doing anything?
I also wonder with the fact that starting value =40 and max value = 50 how can the green graph show a ValueX and ValueY Boxsize to be smaller than that, at 20 and 10 respectively in this screenshot 1 below:? The gap between that starting value and max value is the basis of the ML stepping through values to find the right ones.. unless from optimisations and experience you can narrow it down to 40 to 50 boxsize from the get go. (It seems, based on optimisations to be 10 and 20 for both the BoxSize and the Trailing Stop).
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//------------------------------------------------------------------------- //main code : Paul/Bard Renko 1M ML2 v4b machine learning (ml2) MLx2 applied to Long and Short Boxsize //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 //once mode = 0//1 // [0] with minimum distance stop; [1] without //once minstopdistance = 20 //once percentage = 0 // [1] percentage; [0] points //Money Management //Capital = 10000 + strategyprofit //Current profit made by the closed trades of the running strategy. N = 1//30*Capital / Close 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 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 //Settings 1 & 2 startingvalue = 40 //5, 100, 10 //LONG BOXSIZE ResetPeriod = 3 //1, 0.5 Specify no of months after which to reset optimisation increment = 10 //5, 20, 10 maxincrement = 20 //5, 10 limit of no of increments either up or down reps = 3 //1 number of trades to use for analysis //2 maxvalue = 50 //50, 20, 300, 150 //maximum allowed value minvalue = increment //15, 5, minimum allowed value startingvalue2 = 40 //5, 100, 50 //SHORT BOXSIZE ResetPeriod2 = 3 //1, 0.5 Specify no of months after which to reset optimisation increment2 = 10 //5, 10 maxincrement2 = 20 //1, 30 limit of no of increments either up/down //4 reps2 = 3 //1, 2 nos of trades to use for analysis //3 maxvalue2 = 50 //50, 20, 300, 200 maximum allowed value minvalue2 = increment //15, 5, minimum allowed value once monthinit = month once yearinit = year If (year = yearinit and month = (monthinit + ResetPeriod)) or (year = (yearinit + 1) and ((12 - monthinit) + month = ResetPeriod)) Then ValueX = StartingValue WinCountB = 0 StratAvgB = 0 BestA = 0 BestB = 0 monthinit = month yearinit = year EndIf 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) 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 //Settings 2 once monthinit2 = month once yearinit2 = year If (year = yearinit2 and month = (monthinit2 + ResetPeriod2)) or (year = (yearinit2 + 1) and ((12 - monthinit2) + month = ResetPeriod2)) Then ValueY = StartingValue2 WinCountB2 = 0 StratAvgB2 = 0 BestA2 = 0 BestB2 = 0 monthinit2 = month yearinit2 = year EndIf 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 // Conditions to enter long positions Buy N CONTRACT at renkoMaxL + boxSizeL stop // Conditions to enter short positions Sellshort N CONTRACT at renkoMinS - boxSizeS stop // //if percentage then //set stop %loss 0.25 %trailing 0.5 //set target %profit 2 //else set stop ptrailing 50 //50 + 100 set target pprofit 500 //endif // 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) |
I wrote the above last night, didn’t get round to finishing more testing before commenting. Now I’ve spent the day testing and thinking about what are we really best suited to apply our ML code to?
Is 1 x ML better than 2 x ML? (Depends if it’s the Ehlers Univ Oscillator, in that case ML2 is better, but with Renko I think ML1 is better).
But, after tons of optimisations I keep seeing low Boxsizes of 10 or 20 and ditto for the Trailing Stop. Is that achievable in the Demo/Live environment?
If so what’s the point of setting the starting value at 100 and Max Value to 200 if the ML would do better at figuring out if it’s better to use 10 or 20 in increments of 5?
Hence Paul’s tight Settings values of 40 and 50 appear to perform better.
Note: testing with 100 for Boxsize and 100 for Trailing Stop and testing over very short Daily date ranges like Feb to April 2010, it doesn’t produce tbt warnings and the equity curves actually look more realistic: Renko TP ML1 ITF attached (set those values to Boxsize =10o and Trailing Stop =10o).
So… that just leaves the static “500” figure for Take Profit (TP) that I settled upon after lots of manual tests on different instruments like the Dow, £/$, Brent Crude etc.
Well what if you apply ML1 to the TP whilst fixing the Boxsize and Trailing Stop at 10 (or 20) each? Please see screenshot 2 – ignore bottom two equity curves.
Now obviously this was a fully intentioned tbt test, but judging by the smoothness of the equity curve just didn’t turn out to be a tbt test or give you a warning.
Sometimes, however, if you keep playing with the date ranges — and eventually get that tbt failure warning, and if you’re lucky the offending Renko box that caused the tbt test to fail is at the end of your test dates, and if you hit “close” instead of “launch non tbt” test — you’ll still get to see what the system can do.
The point is even with these fantasy results the win ratios, the gain/loss ratio and profits are far higher targeting ML1 on the TP value than anything else I’ve seen fantasy result of!
I also found that the Wend/While was better when ML1 was applied to the Stop Loss system but not always when using Wend/While on the TP system. Depends on the date ranges, if you set the dates to like £/$ Daily 02/03/ to present, the Wend While wins. If you set if to the last 5 months the without Wend/While system wins. So, is it worth applying ML to work out and switch between a system with Wend and While or without Wend and While, can that be done?
Right, that’s a lot to take in, but it’d be good to get peoples feedback and ideas. Cheers.
