Forums › ProRealTime English forum › ProOrder support › Machine Learning in ProOrder ProRealTime › Reply To: Machine Learning in ProOrder ProRealTime
To continue, because it’s an intersting topic (Thanks @juanj and all contributors), I made a test
I use a very simple code
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 |
// Définition des paramètres du code DEFPARAM CumulateOrders = False // Cumul des positions désactivé // Conditions pour ouvrir une position acheteuse indicator1 = ExponentialAverage[a](close) indicator2 = ExponentialAverage[b](close) c1 = (indicator1 CROSSES OVER indicator2) indicator3 = WilderAverage[c](close) c2 = (close > indicator3) IF c1 AND c2 THEN BUY 1 SHARES AT MARKET ENDIF // Conditions pour ouvrir une position en vente à découvert indicator4 = ExponentialAverage[a](close) indicator5 = ExponentialAverage[b](close) c3 = (indicator4 CROSSES UNDER indicator5) indicator6 = WilderAverage[c](close) c4 = (close < indicator6) IF c3 AND c4 THEN SELLSHORT 1 SHARES AT MARKET ENDIF // Stops et objectifs SET TARGET pPROFIT d SET STOP pLOSS 2*d |
On EUR/USD 1 minute. I do a backtest and obtain the “best” value who are a=30 b=60 c=30 d=4
I put these values in the Learning machine in Starting Value as you can see below with min/max as the values aroud these values on the backtest
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156 157 158 159 160 161 162 163 164 165 166 167 168 169 170 171 172 173 174 175 176 177 178 179 180 181 182 183 184 185 186 187 188 189 190 191 192 193 194 195 196 197 198 199 200 201 202 203 204 205 206 207 208 209 210 211 212 213 214 215 216 217 218 219 220 221 222 223 224 225 226 227 228 229 230 231 232 233 234 235 236 237 238 239 240 241 242 243 244 245 246 247 248 249 250 251 252 253 254 255 256 257 258 259 260 261 262 263 264 265 266 267 268 269 270 271 272 273 274 275 276 277 278 279 280 281 282 283 284 285 286 287 288 289 290 291 292 293 294 295 296 297 298 299 300 301 302 303 304 305 306 307 308 309 310 311 312 313 314 315 316 317 318 319 320 321 322 323 |
defparam cumulateorders = false ////////////////////////////////////////////////////////////// StartingValue = 30 ResetPeriod = 3 //Specify no of months after which to reset optimization Increment = 1 MaxIncrement = 20 //Limit of no of increments either up or down Reps = 3 //Number of trades to use for analysis MinValue = 10 //Minimum allowed value MaxValue = 100 //Maximum allowed value ////////////////////////////////////////////////////////////// StartingValue2 = 60 ResetPeriod2 = 3 //Specify no of months after which to reset optimization Increment2 = 1 MaxIncrement2 = 20 //Limit of no of increments either up or down Reps2 = 3 //Number of trades to use for analysis MinValue2 = 20 //Minimum allowed value MaxValue2 = 100 //Maximum allowed value ////////////////////////////////////////////////////////////// //period1=7 //period2=14 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) 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 optimize = optimize + 1 EndIf If monthinit = 1 or monthinit = 3 or monthinit = 5 or monthinit = 7 or monthinit = 8 or monthinit = 10 or monthinit = 12 Then MonthDays = 31 ElsIf monthinit = 4 or monthinit = 6 or monthinit = 9 or monthinit = 11 Then MonthDays = 30 ElsIf monthinit = 2 Then If (yearinit/4 = round(yearinit/4)) or (yearinit/400 = round(yearinit/400)) Then //haha not sure how exactly to do this MonthDays = 29 //leap year Else MonthDays = 28 EndIf EndIf If (month = monthinit and day = dayinit + ResetPeriod) or (month = monthinit + 1 and (day + (MonthDays - dayinit)) >= ResetPeriod) Then ValueX = StartingValue WinCountB = 0 StratAvgB = 0 BestA = 0 BestB = 0 dayinit = day monthinit = month yearinit = year EndIf once ValueX = StartingValue once PIncPos = 1 //Positive Increment Position once NIncPos = 1 //Neative Increment Position once Optimize = 0 ////Initialize Heuristicks Engine Counter (Must be Incremented at Position Start or Exit) once Mode = 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 Optimize = 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]*100000)*-1)*-1) StratAvgA = StratAvgA + (((PositionPerf(i)*pointvalue)*countofposition[i])/pipsize) 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 Mode = 0 ElsIf WinCountA < WinCountB and StratAvgA < StratAvgB and Mode = 1 Then ValueX = ValueX - (Increment*NIncPos) NIncPos = NIncPos + 1 Mode = 2 ElsIf WinCountA >= WinCountB or StratAvgA >= StratAvgB and Mode = 1 Then ValueX = ValueX + (Increment*PIncPos) PIncPos = PIncPos + 1 Mode = 1 ElsIf WinCountA < WinCountB and StratAvgA < StratAvgB and Mode = 2 Then ValueX = ValueX + (Increment*PIncPos) PIncPos = PIncPos + 1 Mode = 1 ElsIf WinCountA >= WinCountB or StratAvgA >= StratAvgB and Mode = 2 Then ValueX = ValueX - (Increment*NIncPos) NIncPos = NIncPos + 1 Mode = 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 Optimize = 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 optimize2 = optimize2 + 1 EndIf If monthinit2 = 1 or monthinit2 = 3 or monthinit2 = 5 or monthinit2 = 7 or monthinit2 = 8 or monthinit2 = 10 or monthinit2 = 12 Then MonthDays2 = 31 ElsIf monthinit2 = 4 or monthinit2 = 6 or monthinit2 = 9 or monthinit2 = 11 Then MonthDays2 = 30 ElsIf monthinit2 = 2 Then If (yearinit2/4 = round(yearinit2/4)) or (yearinit2/400 = round(yearinit2/400)) Then //haha not sure how exactly to do this MonthDays2 = 29 //leap year Else MonthDays2 = 28 EndIf EndIf If (month = monthinit2 and day = dayinit2 + ResetPeriod2) or (month = monthinit2 + 1 and (day + (MonthDays2 - dayinit2)) >= ResetPeriod2) Then ValueY = StartingValue2 WinCountB2 = 0 StratAvgB2 = 0 BestA2 = 0 BestB2 = 0 dayinit2 = day monthinit2 = month yearinit2 = year EndIf once ValueY = StartingValue2 once PIncPos2 = 1 //Positive Increment Position once NIncPos2 = 1 //Neative Increment Position once Optimize2 = 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 Optimize2 = 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(i) > 0 Then WinCountA2 = WinCountA2 + 1 //Increment Current WinCount EndIf //StratAvgA2 = StratAvgA2 + (((PositionPerf(i)*countofposition[i]*100000)*-1)*-1) StratAvgA2 = StratAvgA2 + (((PositionPerf(i)*pointvalue)*countofposition[i])/pipsize) 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 Mode = 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 Mode = 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 = BestA 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 Optimize2 = 0 EndIf // Heuristics Algorithm 2 End //EndIf //c1=average[valuex](close) //c2=average[valuey](close) // //condbuy =c1 crosses over c2 and rsi[14](close)<70 //condsell=c1 crosses under c2 and rsi[14](close)>30 // //if condbuy then //buy at market //endif //if condsell then //sellshort at market //endif //pp=positionperf(0)*100 //if pp<-0.125 then //sell at market //exitshort at market //endif //set stop %loss 0.5 // exit sooner on performance criteria above //set target %profit 0.25 graph valuex coloured(121,141,35,255) graph valuey coloured(255,0,0,255) //endif indicator1 = ExponentialAverage[valuex](close) indicator2 = ExponentialAverage[valuey](close) c1 = (indicator1 CROSSES OVER indicator2) indicator3 = WilderAverage[30](close) c2 = (close > indicator3) IF c1 AND c2 THEN BUY 1 SHARES AT MARKET ENDIF // Conditions pour ouvrir une position en vente à découvert indicator4 = ExponentialAverage[valuex](close) indicator5 = ExponentialAverage[valuey](close) c3 = (indicator4 CROSSES UNDER indicator5) indicator6 = WilderAverage[30](close) c4 = (close < indicator6) IF c3 AND c4 THEN SELLSHORT 1 SHARES AT MARKET ENDIF // Stops et objectifs SET STOP pLOSS 8 SET TARGET pPROFIT 4 |
And I compare the results on 2 graph. But sadly the results are worst with the learning machine
Can you test too with this procedure (I think it’s good) on another simple code: Backtest to determine the “best” values to put in starting values and compare
May be it’s the code or me 🙂 but it’s strange the results are worst
See U Coders