Backtest fonctionne OK, mais division par zéro en trading réel

• 10/22/2020 at 12:44 AM #148038
  Khaled

  Bonjour, J’ai testé le code ci-dessous trouvé sur ce site et alors que le backtest fonctionne correctement, en réel le trading s’arrête en affichant le message d’erreur (copie d’écran ci-dessous) “division par zéro lors de l’évaluation du dernier chandelier”. Pourriez-vous m’aider à trouver d’où vient l’erreur dans le code?

  Merci

  Renko 1M ML2 v4b

  //------------------------------------------------------------------------- //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

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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

   

  

  Khaled

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  10/22/2020 at 9:29 AM #148062
  Nicolas

  Je n’ai pas décelé de valeur nulle dans une division à la première lecture, mais il semble en avoir discuté dans le sujet d’où provient ce code, aurais-tu l’URL ?

  Une division par zéro provoque l’arrêt du système quoi qu’il arrive, si cela arrive dés l’envoi de la stratégie dans ProOrder, c’est parce qu’une variable utilisée dans une division n’a pas encore de valeur. Il faut donc relire le code et vérifier que chaque variable utilisée comme diviseur a bien une valeur supérieure à 0 lors de la première lecture du code.

  

  Nicolas

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  10/22/2020 at 9:46 AM #148065
  Khaled

  Merci Nicolas, le code vient de https://www.prorealcode.com/reply/128486/

  mais pourquoi cela fonctionne-t-il correctement dans le Backtest alors?

  j’ai changé les lignes 267 et 268 comme suit et j’ai un Win Rate % qui chute de 80% à 60%. L’Algo n’est plus arrêté par “division à zéro” dans certains TF (pas tous).

  boxsizel = max (ValueX , increment) boxsizes = max (ValueY , increment2)

  1 2 3

  boxsizel = max (ValueX , increment)   boxsizes = max (ValueY , increment2)

   

  

  Khaled

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  10/22/2020 at 10:05 AM #148068
  Nicolas

  Concernant les performances de l’algo, je ne vais pas pouvoir t’aider, tu devrais en discuter dans le sujet approprié.

  ProBacktest n’a pas de problème à exécuter du code avec des erreurs de programmation, contrairement à ProOrder qui lui ne veut te faire prendre aucun risque. Quelle est le but de faire une division par zéro ? 🙂

  

  Nicolas

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  10/22/2020 at 10:24 AM #148072
  Khaled

  Merci Nicolas

  

  Khaled

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