dynamic live parameter adjustment

Forums ProRealTime English forum ProOrder support dynamic live parameter adjustment

Viewing 15 posts - 1 through 15 (of 32 total)
  • #120995

    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.

     

     

    1 user thanked author for this post.
    #121041

    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/

     

     

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    #121046

    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.

     

     

     

    #121049

    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!

    #121051

    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.
    #121054

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

    #121055

    @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.
    #121060

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

    #129193

    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.

     

     

     

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    #129212

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

    optimise direction 0-1 & valuex/y

     

    3 users thanked author for this post.
    #129691

    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.

     

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    #129801

    Line 52 should not be

    ?

    #129806

    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)

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    #129851

    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?

    #129852

    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!

     

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Viewing 15 posts - 1 through 15 (of 32 total)

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