dynamic live parameter adjustment

• 03/02/2020 at 5:15 PM #120995
  Paul

  some first code, not sure if it’s correct completely, but it looks the way i’am after.

  I want that the code automatically adjust a few parameters of a strategy if it determines that long or short doesn’t work anymore.

   

  It’s like live adjustments within the margins set. First off I needed the data to work with so this is a start.

  // period reset once periodr=1 //0all;1day;2week;3month;4year if periodr=0 then if barindex=0 then longperf=0 shortperf=0 endif elsif periodr=1 then if day<>day[1] then longperf=0 shortperf=0 endif elsif periodr=2 then if dayofweek=0 then longperf=0 shortperf=0 endif elsif periodr=3 then if month<>month[1] then longperf=0 shortperf=0 endif elsif periodr=4 then if year<>year[1] then longperf=0 shortperf=0 endif endif if longonmarket[1] and (not onmarket or shortonmarket) then if strategyprofit[1]>=strategyprofit[2] then longperf=longperf+positionperf(1)*100 else longperf=longperf-positionperf(1)*100 endif endif if shortonmarket[1] and (not onmarket or longonmarket) then if strategyprofit[1]>=strategyprofit[2] then shortperf=shortperf+positionperf(1)*100 else shortperf=shortperf-positionperf(1)*100 endif endif graph longperf coloured(0,0,255,255) as "long performance" graph shortperf coloured(255,0,0,255) as "short performance"

  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

  // period reset once periodr=1 //0all;1day;2week;3month;4year   if periodr=0 then if barindex=0 then longperf=0 shortperf=0 endif elsif periodr=1 then if day<>day[1] then longperf=0 shortperf=0 endif elsif periodr=2 then if dayofweek=0 then longperf=0 shortperf=0 endif elsif periodr=3 then if month<>month[1] then longperf=0 shortperf=0 endif elsif periodr=4 then if year<>year[1] then longperf=0 shortperf=0 endif endif   if longonmarket[1] and (not onmarket or shortonmarket) then if strategyprofit[1]>=strategyprofit[2] then longperf=longperf+positionperf(1)*100 else longperf=longperf-positionperf(1)*100 endif endif   if shortonmarket[1] and (not onmarket or longonmarket) then if strategyprofit[1]>=strategyprofit[2] then shortperf=shortperf+positionperf(1)*100 else shortperf=shortperf-positionperf(1)*100 endif endif   graph longperf coloured(0,0,255,255) as "long performance" graph shortperf coloured(255,0,0,255) as "short performance"

   

   

  1 user thanked author for this post.

  GraHal

  

  Paul

  Participant

  Topics: 40

  Replies: 812

  Been thanked: 660 times
  03/03/2020 at 10:11 AM #121041
  GraHal

  Machine learning … great idea! Got to be the way to go Paul?

  Did you see the work Leo did on Neural Network Indicators (links below)?  Might spark some ideas for you.

  I didn’t  understand Leo’s code, but I just spotted something I hadn’t appreciated before!

  Also now you are doing above, my task today is to read up on the difference between Machine Learning and Neural Networks.

  https://www.prorealcode.com/topic/neural-networks-programming-with-prorealtime/

  https://www.prorealcode.com/topic/discussion-on-leos-neural-networks/

   

   

  1 user thanked author for this post.

  Paul

  

  GraHal

  Participant

  Topics: 214

  Replies: 8831

  Been thanked: 2201 times
  03/03/2020 at 10:55 AM #121046
  Paul

  I know the topics, but never realised it could be usefull for my goal.  I only need 1 parameter to be adjust while trading, so maybe that will fit the purpose. Thanks for the links!

  In meantime, something simple which can be used with code above.

  Stop trading, long or short each, when profits are >2% or losses <-2%. It depends when the period-reset is set to start trading again.

  // limit & secure profit daily if longperf>2 or longperf<-2 then tradelong=0 else tradelong=1 endif if shortperf>2 or shortperf<-2 then tradeshort=0 else tradeshort=1 endif // If longposition and tradelong then

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15

  // limit & secure profit daily if longperf>2 or longperf<-2 then tradelong=0 else tradelong=1 endif   if shortperf>2 or shortperf<-2 then tradeshort=0 else tradeshort=1 endif   // If longposition and tradelong then

   

   

   

  

  Paul

  Participant

  Topics: 40

  Replies: 812

  Been thanked: 660 times
  03/03/2020 at 11:31 AM #121049
  Vonasi

  I did a lot of work on a code that adapted an indicator setting to what had worked best recently and the back tests were all fantastic but the forward tests turned out to be terrible. It seems that no matter what we do there is some form of curve fitting when using historical data and so I gave up on the concept. Plus at the time without arrays it was a coding nightmare!

  

  Vonasi

  Moderator

  Topics: 192

  Replies: 5088

  Been thanked: 1811 times
  03/03/2020 at 11:45 AM #121051
  juanj

  I have developed and refined a ‘plug and play’ self contained heuristics algorithm over the last few years that can dynamically adjust any parameter based on it’s performance. I use it in all of my strategies. Let me know if you are interested.

  4 users thanked author for this post.

  nonetheless, Paul, GraHal, Wacko

  

  juanj

  Participant

  Topics: 51

  Replies: 505

  Been thanked: 170 times
  03/03/2020 at 12:24 PM #121054
  Vonasi

  Sounds interesting Juanj. I’m sure lots of people would like to see how that works.

  

  Vonasi

  Moderator

  Topics: 192

  Replies: 5088

  Been thanked: 1811 times
  03/03/2020 at 12:31 PM #121055
  juanj

  @Vonasi I would then need to direct your attention to this topic I started in 2017: https://www.prorealcode.com/topic/machine-learning-in-proorder/

  This is the early idea and birth place of the strategy. I will post the latest version there

  2 users thanked author for this post.

  GraHal, Paul

  

  juanj

  Participant

  Topics: 51

  Replies: 505

  Been thanked: 170 times
  03/03/2020 at 12:51 PM #121060
  Paul

  hi juanj  yes i’am very interested. Thanks for posting that link!

  

  Paul

  Participant

  Topics: 40

  Replies: 812

  Been thanked: 660 times
  05/01/2020 at 12:17 PM #129193
  Paul

  I’ve picked up on this. It’s a version of ML in a basic way. It does what I had in mind.

  if previous traderesult is positive/negative, it increase  (or decrease) the parameter within max/min values

  There’s a reset, currently it reset’s the positionperformance for a period, it doesn’t reset the boxsize in a proper way.

  And a mention to the snippet above which is optional with below. It calculates the % for the period and if the realised performance exceeds the preset value it stops trading for that period.

  if positions have +0.5 +0.2+0.6+1.0 and the total is bigger then i.e. 2%, it won’t take new trades that period. Same for losses. It’s no stoploss, because it looks at realised trade results.

   

  // dynamic parameter adjustment once periodr = 1 // [0]none;[1]day;[2]week;[3]month;[4]year (reset period) once direction= dd // [0] or [1]opposite once valuex = aa once valuey = bb increment = 5 minvalue = 15 maxvalue = 40 // main setup if periodr=0 then if barindex=0 then longperf=0 shortperf=0 endif elsif periodr=1 then if day<>day[1] then longperf=0 shortperf=0 endif elsif periodr=2 then if dayofweek=0 then longperf=0 shortperf=0 endif elsif periodr=3 then if month<>month[1] then longperf=0 shortperf=0 endif elsif periodr=4 then if year<>year[1] then longperf=0 shortperf=0 endif endif if longonmarket[1] and (not onmarket or shortonmarket) then if strategyprofit[1]>=strategyprofit[2] then longperf=longperf+positionperf(1)*100 else longperf=longperf-positionperf(1)*100 endif endif if shortonmarket[1] and (not onmarket or longonmarket) then if strategyprofit[1]>=strategyprofit[2] then shortperf=shortperf+positionperf(1)*100 else shortperf=shortperf-positionperf(1)*100 endif endif if direction=1 then if longperf>longperf[1] then if valuex+increment <= maxvalue then valuex=valuex+increment else valuex=valuex endif elsif longperf<longperf[1] then if valuex-increment >= minvalue then valuex=valuex-increment else valuex=valuex endif endif if shortperf>shortperf[1] then if valuey+increment <= maxvalue then valuey=valuey+increment else valuey=valuey endif elsif shortperf<shortperf[1] then if valuey-increment >= minvalue then valuey=valuey-increment else valuey=valuey endif endif else if longperf>longperf[1] then if valuex-increment >= minvalue then valuex=valuex-increment else valuex=valuex endif elsif longperf<longperf[1] then if valuex+increment <= maxvalue then valuex=valuex+increment else valuex=valuex endif endif if shortperf>shortperf[1] then if valuey-increment >= minvalue then valuey=valuey-increment else valuey=valuey endif elsif shortperf<shortperf[1] then if valuey+increment <= maxvalue then valuey=valuey+increment else valuey=valuey endif endif endif graph longperf*10 coloured(0,0,255,255) as "long performance (*10)" graph shortperf*10 coloured(255,0,0,255) as "short performance (*10)" boxsizes=valuey boxsizel=valuex graph valuex coloured(0,200,0) as "boxsize long" graph valuey coloured(200,0,0) as "boxsize short"

  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

  // dynamic parameter adjustment once periodr  = 1 // [0]none;[1]day;[2]week;[3]month;[4]year (reset period) once direction= dd // [0] or [1]opposite   once valuex =  aa once valuey =  bb   increment =  5 minvalue  = 15 maxvalue  = 40   // main setup if periodr=0 then if barindex=0 then longperf=0 shortperf=0 endif elsif periodr=1 then if day<>day[1] then longperf=0 shortperf=0 endif elsif periodr=2 then if dayofweek=0 then longperf=0 shortperf=0 endif elsif periodr=3 then if month<>month[1] then longperf=0 shortperf=0 endif elsif periodr=4 then if year<>year[1] then longperf=0 shortperf=0 endif endif if longonmarket[1] and (not onmarket or shortonmarket) then if strategyprofit[1]>=strategyprofit[2] then longperf=longperf+positionperf(1)*100 else longperf=longperf-positionperf(1)*100 endif endif if shortonmarket[1] and (not onmarket or longonmarket) then if strategyprofit[1]>=strategyprofit[2] then shortperf=shortperf+positionperf(1)*100 else shortperf=shortperf-positionperf(1)*100 endif endif   if direction=1 then if longperf>longperf[1] then if valuex+increment <= maxvalue then valuex=valuex+increment else valuex=valuex endif elsif longperf<longperf[1] then if valuex-increment >= minvalue then valuex=valuex-increment else valuex=valuex endif endif   if shortperf>shortperf[1] then if valuey+increment <= maxvalue then valuey=valuey+increment else valuey=valuey endif elsif shortperf<shortperf[1] then if valuey-increment >= minvalue then valuey=valuey-increment else valuey=valuey endif endif else if longperf>longperf[1] then if valuex-increment >= minvalue then valuex=valuex-increment else valuex=valuex endif elsif longperf<longperf[1] then if valuex+increment <= maxvalue then valuex=valuex+increment else valuex=valuex endif endif if shortperf>shortperf[1] then if valuey-increment >= minvalue then valuey=valuey-increment else valuey=valuey endif elsif shortperf<shortperf[1] then if valuey+increment <= maxvalue then valuey=valuey+increment else valuey=valuey endif endif endif   graph longperf*10 coloured(0,0,255,255) as "long performance (*10)" graph shortperf*10 coloured(255,0,0,255) as "short performance (*10)"   boxsizes=valuey boxsizel=valuex   graph valuex coloured(0,200,0) as "boxsize long" graph valuey coloured(200,0,0) as "boxsize short"

   

   

  1 user thanked author for this post.

  GraHal

  

  Paul

  Participant

  Topics: 40

  Replies: 812

  Been thanked: 660 times
  05/01/2020 at 1:41 PM #129212
  Paul

  quick fix for the valuex/y reset when periodr > 0

  optimise direction 0-1 & valuex/y

  // dynamic parameter adjustment once periodr = 0 // [0]none;[1]day;[2]week;[3]month;[4]year (reset period) once direction= 0 // [0] or [1]opposite once valuex = 45 once valuey = 45 once startvalueL=valuex once startvalueS=valuey increment = 5 minvalue = 10 maxvalue = 50 // main setup if periodr=0 then if barindex=0 then longperf=0 shortperf=0 endif elsif periodr=1 then if day<>day[1] then longperf=0 shortperf=0 endif elsif periodr=2 then if dayofweek=0 then longperf=0 shortperf=0 endif elsif periodr=3 then if month<>month[1] then longperf=0 shortperf=0 endif elsif periodr=4 then if year<>year[1] then longperf=0 shortperf=0 endif endif if longonmarket[1] and (not onmarket or shortonmarket) then if strategyprofit[1]>=strategyprofit[2] then longperf=longperf+positionperf(1)*100 else longperf=longperf-positionperf(1)*100 endif endif if shortonmarket[1] and (not onmarket or longonmarket) then if strategyprofit[1]>=strategyprofit[2] then shortperf=shortperf+positionperf(1)*100 else shortperf=shortperf-positionperf(1)*100 endif endif if direction=1 then if longperf<>0 then if longperf>longperf[1] then if valuex+increment <= maxvalue then valuex=valuex+increment else valuex=valuex endif elsif longperf<longperf[1] then if valuex-increment >= minvalue then valuex=valuex-increment else valuex=valuex endif endif else valuex=startvalueL endif if shortperf<>0 then if shortperf>shortperf[1] then if valuey+increment <= maxvalue then valuey=valuey+increment else valuey=valuey endif elsif shortperf<shortperf[1] then if valuey-increment >= minvalue then valuey=valuey-increment else valuey=valuey endif endif else valuey=startvalueS endif else if longperf<>0 then if longperf>longperf[1] then if valuex-increment >= minvalue then valuex=valuex-increment else valuex=valuex endif elsif longperf<longperf[1] then if valuex+increment <= maxvalue then valuex=valuex+increment else valuex=valuex endif endif else valuex=startvalueL endif if shortperf<>0 then if shortperf>shortperf[1] then if valuey-increment >= minvalue then valuey=valuey-increment else valuey=valuey endif elsif shortperf<shortperf[1] then if valuey+increment <= maxvalue then valuey=valuey+increment else valuey=valuey endif endif else valuey=startvalueS endif endif graph longperf*10 coloured(0,0,255,255) as "long performance (*10)" graph shortperf*10 coloured(255,0,0,255) as "short performance (*10)" boxsizes=valuey boxsizel=valuex graph valuex coloured(0,200,0) as "boxsize long" graph valuey coloured(200,0,0) as "boxsize short"

  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

  // dynamic parameter adjustment once periodr  = 0 // [0]none;[1]day;[2]week;[3]month;[4]year (reset period) once direction= 0 // [0] or [1]opposite   once valuex =  45 once valuey =  45   once startvalueL=valuex once startvalueS=valuey   increment =  5 minvalue  = 10 maxvalue  = 50   // main setup if periodr=0 then if barindex=0 then longperf=0 shortperf=0 endif elsif periodr=1 then if day<>day[1] then longperf=0 shortperf=0 endif elsif periodr=2 then if dayofweek=0 then longperf=0 shortperf=0 endif elsif periodr=3 then if month<>month[1] then longperf=0 shortperf=0 endif elsif periodr=4 then if year<>year[1] then longperf=0 shortperf=0 endif endif if longonmarket[1] and (not onmarket or shortonmarket) then if strategyprofit[1]>=strategyprofit[2] then longperf=longperf+positionperf(1)*100 else longperf=longperf-positionperf(1)*100 endif endif if shortonmarket[1] and (not onmarket or longonmarket) then if strategyprofit[1]>=strategyprofit[2] then shortperf=shortperf+positionperf(1)*100 else shortperf=shortperf-positionperf(1)*100 endif endif   if direction=1 then if longperf<>0 then if longperf>longperf[1] then if valuex+increment <= maxvalue then valuex=valuex+increment else valuex=valuex endif elsif longperf<longperf[1] then if valuex-increment >= minvalue then valuex=valuex-increment else valuex=valuex endif endif else valuex=startvalueL endif   if shortperf<>0 then if shortperf>shortperf[1] then if valuey+increment <= maxvalue then valuey=valuey+increment else valuey=valuey endif elsif shortperf<shortperf[1] then if valuey-increment >= minvalue then valuey=valuey-increment else valuey=valuey endif endif else valuey=startvalueS endif else if longperf<>0 then if longperf>longperf[1] then if valuex-increment >= minvalue then valuex=valuex-increment else valuex=valuex endif elsif longperf<longperf[1] then if valuex+increment <= maxvalue then valuex=valuex+increment else valuex=valuex endif endif else valuex=startvalueL endif   if shortperf<>0 then if shortperf>shortperf[1] then if valuey-increment >= minvalue then valuey=valuey-increment else valuey=valuey endif elsif shortperf<shortperf[1] then if valuey+increment <= maxvalue then valuey=valuey+increment else valuey=valuey endif endif else valuey=startvalueS endif endif   graph longperf*10 coloured(0,0,255,255) as "long performance (*10)" graph shortperf*10 coloured(255,0,0,255) as "short performance (*10)"   boxsizes=valuey boxsizel=valuex   graph valuex coloured(0,200,0) as "boxsize long" graph valuey coloured(200,0,0) as "boxsize short"

   

  3 users thanked author for this post.

  Francesco, eckaw, GraHal

  

  Paul

  Participant

  Topics: 40

  Replies: 812

  Been thanked: 660 times
  05/03/2020 at 10:58 PM #129691
  Paul

  a try, up 7 parameters! (vectorial)

  it bouches around between min & max value and it checks if it’s better to increase after a win or decrease for each parameter. There is a reset which can be usefull. It only needs to test 0 – 1 except for the reset period if used.

  valuex1 ->angle long

  valuex2 -> angle short

  valuex3-7 for the other parameters from the strategy.

  remove once from mma/mmb etc.

  // dynamic parameter adjustment once periodr = pp // [0]none;[1]day;[2]week;[3]month;[4]year (reset period) once route1 = p1 // [0] or [1]opposite specific for long once route2 = p2 // [0] or [1]opposite specific for short once route3 = p3 // [0] or [1]opposite once route4 = p4 // [0] or [1]opposite once route5 = p5 // [0] or [1]opposite once route6 = p6 // [0] or [1]opposite once route7 = p7 // [0] or [1]opposite // long angle long increment1 = 2 minvalue1 = 16 maxvalue1 = 32 // short angle short increment2 = 2 minvalue2 = 16 maxvalue2 = 32 // increment3 = 1 //periodea 10 minvalue3 = 8 maxvalue3 = 12 // increment4 = 1 //nbchandeliera 15 minvalue4 = 13 maxvalue4 = 17 // increment5 = 1 //periodeb 20 minvalue5 = 18 maxvalue5 = 22 // increment6 = 1 //nbchandelierb 35 minvalue6 = 30 maxvalue6 = 36 // increment7 = 1 //lag 5 minvalue7 = 0 maxvalue7 = 6 once valuex1 = (minvalue1+maxvalue1)/2 once valuex2 = (minvalue2+maxvalue2)/2 once valuex3 = (minvalue3+maxvalue3)/2 once valuex4 = (minvalue4+maxvalue4)/2 once valuex5 = (minvalue5+maxvalue5)/2 once valuex6 = (minvalue6+maxvalue6)/2 once valuex7 = (minvalue6+maxvalue7)/2 once startvalue1=valuex1 once startvalue2=valuex2 once startvalue3=valuex3 once startvalue4=valuex4 once startvalue5=valuex5 once startvalue6=valuex6 once startvalue7=valuex7 // main setup if periodr=0 then if barindex=0 then longperf=0 shortperf=0 endif elsif periodr=1 then if day<>day[1] then longperf=0 shortperf=0 endif elsif periodr=2 then if dayofweek=0 then longperf=0 shortperf=0 endif elsif periodr=3 then if month<>month[1] then longperf=0 shortperf=0 endif elsif periodr=4 then if year<>year[1] then longperf=0 shortperf=0 endif endif if longonmarket[1] and (not onmarket or shortonmarket) then if strategyprofit[1]>=strategyprofit[2] then longperf=longperf+positionperf(1)*100 else longperf=longperf-positionperf(1)*100 endif endif if shortonmarket[1] and (not onmarket or longonmarket) then if strategyprofit[1]>=strategyprofit[2] then shortperf=shortperf+positionperf(1)*100 else shortperf=shortperf-positionperf(1)*100 endif endif if route1=1 then if longperf<>0 then if longperf>longperf[1] then if valuex1+increment1 <= maxvalue1 then valuex1=valuex1+increment1 else valuex1=valuex1 endif elsif longperf<longperf[1] then if valuex1-increment1 >= minvalue1 then valuex1=valuex1-increment1 else valuex1=valuex1 endif endif else valuex1=startvalue1 endif else if longperf<>0 then if longperf>longperf[1] then if valuex1-increment1 >= minvalue1 then valuex1=valuex1-increment1 else valuex1=valuex1 endif elsif longperf<longperf[1] then if valuex1+increment1 <= maxvalue1 then valuex1=valuex1+increment1 else valuex1=valuex1 endif endif else valuex1=startvalue1 endif endif if route2=1 then if shortperf<>0 then if shortperf>shortperf[1] then if valuex2+increment2 <= maxvalue2 then valuex2=valuex2+increment2 else valuex2=valuex2 endif elsif shortperf<shortperf[1] then if valuex2-increment2 >= minvalue2 then valuex2=valuex2-increment2 else valuex2=valuex2 endif endif else valuex2=startvalue2 endif else if shortperf<>0 then if shortperf>shortperf[1] then if valuex2-increment2 >= minvalue2 then valuex2=valuex2-increment2 else valuex2=valuex2 endif elsif shortperf<shortperf[1] then if valuex2+increment2 <= maxvalue2 then valuex2=valuex2+increment2 else valuex2=valuex2 endif endif else valuex2=startvalue2 endif endif if route3=1 then //periodea if shortperf<>0 or longperf<>0 then if shortperf>shortperf[1] or longperf>longperf[1] then if valuex3+increment3 <= maxvalue3 then valuex3=valuex3+increment3 else valuex3=valuex3 endif elsif shortperf<shortperf[1] or longperf<longperf[1] then if valuex3-increment3 >= minvalue3 then valuex3=valuex3-increment3 else valuex3=valuex3 endif endif else valuex3=startvalue3 endif else if shortperf<>0 or longperf<>0 then if shortperf>shortperf[1] or longperf>longperf[1] then if valuex3-increment3 >= minvalue3 then valuex3=valuex3-increment3 else valuex3=valuex3 endif elsif shortperf<shortperf[1] or longperf<longperf[1] then if valuex3+increment3 <= maxvalue3 then valuex3=valuex3+increment3 else valuex3=valuex3 endif endif else valuex3=startvalue3 endif endif if route4=1 then //nbchandeliera if shortperf<>0 or longperf<>0 then if shortperf>shortperf[1] or longperf>longperf[1] then if valuex4+increment4 <= maxvalue4 then valuex4=valuex4+increment4 else valuex4=valuex4 endif elsif shortperf<shortperf[1] or longperf<longperf[1] then if valuex4-increment4 >= minvalue4 then valuex4=valuex4-increment4 else valuex4=valuex4 endif endif else valuex4=startvalue4 endif else if shortperf<>0 or longperf<>0 then if shortperf>shortperf[1] or longperf>longperf[1] then if valuex4-increment4 >= minvalue4 then valuex4=valuex4-increment4 else valuex4=valuex4 endif elsif shortperf<shortperf[1] or longperf<longperf[1] then if valuex4+increment4 <= maxvalue4 then valuex4=valuex4+increment4 else valuex4=valuex4 endif endif else valuex4=startvalue4 endif endif if route5=1 then //periodeb if shortperf<>0 or longperf<>0 then if shortperf>shortperf[1] or longperf>longperf[1] then if valuex5+increment5 <= maxvalue5 then valuex5=valuex5+increment5 else valuex5=valuex5 endif elsif shortperf<shortperf[1] or longperf<longperf[1] then if valuex5-increment5 >= minvalue5 then valuex5=valuex5-increment5 else valuex5=valuex5 endif endif else valuex5=startvalue5 endif else if shortperf<>0 or longperf<>0 then if shortperf>shortperf[1] or longperf>longperf[1] then if valuex5-increment5 >= minvalue5 then valuex5=valuex5-increment5 else valuex5=valuex5 endif elsif shortperf<shortperf[1] or longperf<longperf[1] then if valuex5+increment5 <= maxvalue5 then valuex5=valuex5+increment5 else valuex5=valuex5 endif endif else valuex5=startvalue5 endif endif if route6=1 then //nbchandelierb if shortperf<>0 or longperf<>0 then if shortperf>shortperf[1] or longperf>longperf[1] then if valuex6+increment6 <= maxvalue6 then valuex6=valuex6+increment6 else valuex6=valuex6 endif elsif shortperf<shortperf[1] or longperf<longperf[1] then if valuex6-increment6 >= minvalue6 then valuex6=valuex6-increment6 else valuex6=valuex6 endif endif else valuex6=startvalue6 endif else if shortperf<>0 or longperf<>0 then if shortperf>shortperf[1] or longperf>longperf[1] then if valuex6-increment6 >= minvalue6 then valuex6=valuex6-increment6 else valuex6=valuex6 endif elsif shortperf<shortperf[1] or longperf<longperf[1] then if valuex6+increment6 <= maxvalue6 then valuex6=valuex6+increment6 else valuex6=valuex6 endif endif else valuex6=startvalue6 endif endif if route7=1 then //lag if shortperf<>0 or longperf<>0 then if shortperf>shortperf[1] or longperf>longperf[1] then if valuex7+increment7 <= maxvalue7 then valuex7=valuex7+increment7 else valuex7=valuex7 endif elsif shortperf<shortperf[1] or longperf<longperf[1] then if valuex7-increment7 >= minvalue7 then valuex7=valuex7-increment7 else valuex7=valuex7 endif endif else valuex7=startvalue7 endif else if shortperf<>0 or longperf<>0 then if shortperf>shortperf[1] or longperf>longperf[1] then if valuex7-increment7 >= minvalue7 then valuex7=valuex7-increment7 else valuex7=valuex7 endif elsif shortperf<shortperf[1] or longperf<longperf[1] then if valuex7+increment7 <= maxvalue7 then valuex7=valuex7+increment7 else valuex7=valuex7 endif endif else valuex7=startvalue7 endif endif

  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 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156 157 158 159 160 161 162 163 164 165 166 167 168 169 170 171 172 173 174 175 176 177 178 179 180 181 182 183 184 185 186 187 188 189 190 191 192 193 194 195 196 197 198 199 200 201 202 203 204 205 206 207 208 209 210 211 212 213 214 215 216 217 218 219 220 221 222 223 224 225 226 227 228 229 230 231 232 233 234 235 236 237 238 239 240 241 242 243 244 245 246 247 248 249 250 251 252 253 254 255 256 257 258 259 260 261 262 263 264 265 266 267 268 269 270 271 272 273 274 275 276 277 278 279 280 281 282 283 284 285 286 287 288 289 290 291 292 293 294 295 296 297 298 299 300 301 302 303 304 305 306 307 308 309 310 311 312 313 314 315 316 317 318 319 320 321 322 323 324 325 326 327 328 329 330 331 332 333 334 335 336 337 338 339 340 341 342 343 344 345 346 347 348 349 350 351 352 353 354 355 356 357 358 359 360 361 362 363 364 365 366 367 368 369 370 371

  // dynamic parameter adjustment once periodr   = pp // [0]none;[1]day;[2]week;[3]month;[4]year (reset period) once route1    = p1 // [0] or [1]opposite specific for long once route2    = p2 // [0] or [1]opposite specific for short once route3    = p3 // [0] or [1]opposite once route4    = p4 // [0] or [1]opposite once route5    = p5 // [0] or [1]opposite once route6    = p6 // [0] or [1]opposite once route7    = p7 // [0] or [1]opposite   // long angle long increment1 =  2 minvalue1  = 16 maxvalue1  = 32   // short angle short increment2 =  2 minvalue2  = 16 maxvalue2  = 32   // increment3 = 1 //periodea 10 minvalue3  = 8 maxvalue3  = 12   // increment4 = 1 //nbchandeliera 15 minvalue4  = 13 maxvalue4  = 17   // increment5 = 1 //periodeb 20 minvalue5  = 18 maxvalue5  = 22   // increment6 = 1 //nbchandelierb 35 minvalue6  = 30 maxvalue6  = 36   // increment7 = 1 //lag 5 minvalue7  = 0 maxvalue7  = 6   once valuex1 =  (minvalue1+maxvalue1)/2 once valuex2 =  (minvalue2+maxvalue2)/2 once valuex3 =  (minvalue3+maxvalue3)/2 once valuex4 =  (minvalue4+maxvalue4)/2 once valuex5 =  (minvalue5+maxvalue5)/2 once valuex6 =  (minvalue6+maxvalue6)/2 once valuex7 =  (minvalue6+maxvalue7)/2   once startvalue1=valuex1 once startvalue2=valuex2 once startvalue3=valuex3 once startvalue4=valuex4 once startvalue5=valuex5 once startvalue6=valuex6 once startvalue7=valuex7   // main setup if periodr=0 then if barindex=0 then longperf=0 shortperf=0 endif elsif periodr=1 then if day<>day[1] then longperf=0 shortperf=0 endif elsif periodr=2 then if dayofweek=0 then longperf=0 shortperf=0 endif elsif periodr=3 then if month<>month[1] then longperf=0 shortperf=0 endif elsif periodr=4 then if year<>year[1] then longperf=0 shortperf=0 endif endif   if longonmarket[1] and (not onmarket or shortonmarket) then if strategyprofit[1]>=strategyprofit[2] then longperf=longperf+positionperf(1)*100 else longperf=longperf-positionperf(1)*100 endif endif   if shortonmarket[1] and (not onmarket or longonmarket) then if strategyprofit[1]>=strategyprofit[2] then shortperf=shortperf+positionperf(1)*100 else shortperf=shortperf-positionperf(1)*100 endif endif   if route1=1 then if longperf<>0 then if longperf>longperf[1] then if valuex1+increment1 <= maxvalue1 then valuex1=valuex1+increment1 else valuex1=valuex1 endif elsif longperf<longperf[1] then if valuex1-increment1 >= minvalue1 then valuex1=valuex1-increment1 else valuex1=valuex1 endif endif else valuex1=startvalue1 endif else if longperf<>0 then if longperf>longperf[1] then if valuex1-increment1 >= minvalue1 then valuex1=valuex1-increment1 else valuex1=valuex1 endif elsif longperf<longperf[1] then if valuex1+increment1 <= maxvalue1 then valuex1=valuex1+increment1 else valuex1=valuex1 endif endif else valuex1=startvalue1 endif endif     if route2=1 then if shortperf<>0 then if shortperf>shortperf[1] then if valuex2+increment2 <= maxvalue2 then valuex2=valuex2+increment2 else valuex2=valuex2 endif elsif shortperf<shortperf[1] then if valuex2-increment2 >= minvalue2 then valuex2=valuex2-increment2 else valuex2=valuex2 endif endif else valuex2=startvalue2 endif else if shortperf<>0 then if shortperf>shortperf[1] then if valuex2-increment2 >= minvalue2 then valuex2=valuex2-increment2 else valuex2=valuex2 endif elsif shortperf<shortperf[1] then if valuex2+increment2 <= maxvalue2 then valuex2=valuex2+increment2 else valuex2=valuex2 endif endif else valuex2=startvalue2 endif endif   if route3=1 then //periodea if shortperf<>0 or longperf<>0 then if shortperf>shortperf[1] or longperf>longperf[1] then if valuex3+increment3 <= maxvalue3 then valuex3=valuex3+increment3 else valuex3=valuex3 endif elsif shortperf<shortperf[1] or longperf<longperf[1] then if valuex3-increment3 >= minvalue3 then valuex3=valuex3-increment3 else valuex3=valuex3 endif endif else valuex3=startvalue3 endif else if shortperf<>0 or longperf<>0 then if shortperf>shortperf[1] or longperf>longperf[1] then if valuex3-increment3 >= minvalue3 then valuex3=valuex3-increment3 else valuex3=valuex3 endif elsif shortperf<shortperf[1] or longperf<longperf[1] then if valuex3+increment3 <= maxvalue3 then valuex3=valuex3+increment3 else valuex3=valuex3 endif endif else valuex3=startvalue3 endif endif   if route4=1 then //nbchandeliera if shortperf<>0 or longperf<>0 then if shortperf>shortperf[1] or longperf>longperf[1] then if valuex4+increment4 <= maxvalue4 then valuex4=valuex4+increment4 else valuex4=valuex4 endif elsif shortperf<shortperf[1] or longperf<longperf[1] then if valuex4-increment4 >= minvalue4 then valuex4=valuex4-increment4 else valuex4=valuex4 endif endif else valuex4=startvalue4 endif else if shortperf<>0 or longperf<>0 then if shortperf>shortperf[1] or longperf>longperf[1] then if valuex4-increment4 >= minvalue4 then valuex4=valuex4-increment4 else valuex4=valuex4 endif elsif shortperf<shortperf[1] or longperf<longperf[1] then if valuex4+increment4 <= maxvalue4 then valuex4=valuex4+increment4 else valuex4=valuex4 endif endif else valuex4=startvalue4 endif endif   if route5=1 then //periodeb if shortperf<>0 or longperf<>0 then if shortperf>shortperf[1] or longperf>longperf[1] then if valuex5+increment5 <= maxvalue5 then valuex5=valuex5+increment5 else valuex5=valuex5 endif elsif shortperf<shortperf[1] or longperf<longperf[1] then if valuex5-increment5 >= minvalue5 then valuex5=valuex5-increment5 else valuex5=valuex5 endif endif else valuex5=startvalue5 endif else if shortperf<>0 or longperf<>0 then if shortperf>shortperf[1] or longperf>longperf[1] then if valuex5-increment5 >= minvalue5 then valuex5=valuex5-increment5 else valuex5=valuex5 endif elsif shortperf<shortperf[1] or longperf<longperf[1] then if valuex5+increment5 <= maxvalue5 then valuex5=valuex5+increment5 else valuex5=valuex5 endif endif else valuex5=startvalue5 endif endif   if route6=1 then //nbchandelierb if shortperf<>0 or longperf<>0 then if shortperf>shortperf[1] or longperf>longperf[1] then if valuex6+increment6 <= maxvalue6 then valuex6=valuex6+increment6 else valuex6=valuex6 endif elsif shortperf<shortperf[1] or longperf<longperf[1] then if valuex6-increment6 >= minvalue6 then valuex6=valuex6-increment6 else valuex6=valuex6 endif endif else valuex6=startvalue6 endif else if shortperf<>0 or longperf<>0 then if shortperf>shortperf[1] or longperf>longperf[1] then if valuex6-increment6 >= minvalue6 then valuex6=valuex6-increment6 else valuex6=valuex6 endif elsif shortperf<shortperf[1] or longperf<longperf[1] then if valuex6+increment6 <= maxvalue6 then valuex6=valuex6+increment6 else valuex6=valuex6 endif endif else valuex6=startvalue6 endif endif   if route7=1 then //lag if shortperf<>0 or longperf<>0 then if shortperf>shortperf[1] or longperf>longperf[1] then if valuex7+increment7 <= maxvalue7 then valuex7=valuex7+increment7 else valuex7=valuex7 endif elsif shortperf<shortperf[1] or longperf<longperf[1] then if valuex7-increment7 >= minvalue7 then valuex7=valuex7-increment7 else valuex7=valuex7 endif endif else valuex7=startvalue7 endif else if shortperf<>0 or longperf<>0 then if shortperf>shortperf[1] or longperf>longperf[1] then if valuex7-increment7 >= minvalue7 then valuex7=valuex7-increment7 else valuex7=valuex7 endif elsif shortperf<shortperf[1] or longperf<longperf[1] then if valuex7+increment7 <= maxvalue7 then valuex7=valuex7+increment7 else valuex7=valuex7 endif endif else valuex7=startvalue7 endif endif

   

  3 users thanked author for this post.

  nonetheless, Francesco, eckaw

  

  Paul

  Participant

  Topics: 40

  Replies: 812

  Been thanked: 660 times
  05/04/2020 at 11:36 AM #129801
  Francesco

  Line 52 should not be

  once valuex7 = (minvalue7+maxvalue7)/2

  1	once valuex7 =  (minvalue7+maxvalue7)/2

  ?

  

  Francesco

  Participant

  Topics: 32

  Replies: 439

  Been thanked: 200 times
  05/04/2020 at 12:01 PM #129806
  Paul

  yes, saw it later after posting. More bugs most likely. Need a reset day/week/month i.e. on 5 min. to make sense, if it does anyway. The min+max/2 value can be replace with a preferred number. I.e. lag, put in 5, with increment 5 and it will switch between 0 and 5. (with minvalue=0/maxvalue=5)

  1 user thanked author for this post.

  Francesco

  

  Paul

  Participant

  Topics: 40

  Replies: 812

  Been thanked: 660 times
  05/04/2020 at 2:38 PM #129851
  Francesco

  Clear.. btw i was thinking: you can choose 0 and 1 to select the direction of the increment; it’s not possible to have both? The system can handle at the same time the decision of going up and down?

  

  Francesco

  Participant

  Topics: 32

  Replies: 439

  Been thanked: 200 times
  05/04/2020 at 2:38 PM #129852
  nonetheless

  Altered the min/max values and got it to where it’s very close to the non-dynamic version. Tried using a fixed number for startvalue but (min+max)/2 was better. Feels like it needs just another little push to get up into positive territory!

  // dynamic parameter adjustment once periodr = 1 // [0]none;[1]day;[2]week;[3]month;[4]year (reset period) once route1 = 1 // [0] or [1]opposite specific for long once route2 = 1 // [0] or [1]opposite specific for short once route3 = 1 // [0] or [1]opposite once route4 = 1 // [0] or [1]opposite once route5 = 1 // [0] or [1]opposite once route6 = 1 // [0] or [1]opposite once route7 = 1 // [0] or [1]opposite // long angle long 45 increment1 = 2 minvalue1 = 37 maxvalue1 = 53 // short angle short 34 increment2 = 2 minvalue2 = 26 maxvalue2 = 42 // increment3 = 1 //periodea 10 minvalue3 = 8 maxvalue3 = 12 // increment4 = 1 //nbchandeliera 14 minvalue4 = 12 maxvalue4 = 16 // increment5 = 1 //periodeb 22 minvalue5 = 20 maxvalue5 = 24 // increment6 = 1 //nbchandelierb 34 minvalue6 = 32 maxvalue6 = 36 // increment7 = 1 //lag 4 minvalue7 = 0 maxvalue7 = 6

  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

  // dynamic parameter adjustment once periodr   = 1 // [0]none;[1]day;[2]week;[3]month;[4]year (reset period) once route1    = 1 // [0] or [1]opposite specific for long once route2    = 1 // [0] or [1]opposite specific for short once route3    = 1 // [0] or [1]opposite once route4    = 1 // [0] or [1]opposite once route5    = 1 // [0] or [1]opposite once route6    = 1 // [0] or [1]opposite once route7    = 1 // [0] or [1]opposite // long angle long 45 increment1 =  2 minvalue1  = 37 maxvalue1  = 53 // short angle short 34 increment2 =  2 minvalue2  = 26 maxvalue2  = 42 // increment3 = 1 //periodea 10 minvalue3  = 8 maxvalue3  = 12 // increment4 = 1 //nbchandeliera 14 minvalue4  = 12 maxvalue4  = 16 // increment5 = 1 //periodeb 22 minvalue5  = 20 maxvalue5  = 24 // increment6 = 1 //nbchandelierb 34 minvalue6  = 32 maxvalue6  = 36 // increment7 = 1 //lag 4 minvalue7  = 0 maxvalue7  = 6

   

  1 user thanked author for this post.

  Paul

  

  nonetheless

  Participant

  Topics: 83

  Replies: 1237

  Been thanked: 978 times
• Author
  Posts