Machine Learning in ProOrder ProRealTime

juanj · Sun, 06 Aug 2017 18:29:04 +0000

I would like to start a discussion around the possibilities of making use of machine learning in ProRealTime. I have personally experimented with some heuristics algorithms in ProOrder but find it very limiting when having to optimize more than one variable. Here is an snippet of the code I use to optimize an variable called periods (i.e. Average[periods]): // Heuristics Algorithm once Periods = 42 //Variable to be optimized once Optimize = 0 once Mode = 1 //switches between + and - increments once Increment = 1 //initial increment value once StratAvgB = 0 If Optimize = 10 Then //value is incremented by 1 at position entry or exit WinCount = 0 //Value used to determine minimum number of winning trades StratAvgA = StratAvgB StratAvgB = 0 For i = 1 to 10 Do //number of repittions to run past performance analysis If positionperf(i) > 0 Then WinCount = WinCount + 1 EndIF StratAvgB = StratAvgB + StrategyProfit[i] Next StratAvgB = StratAvgB/10 If (WinCount < 5 or StratAvgA > StratAvgB) and Mode = 1 Then Periods = Periods + (Increment+2) ElsIf (Winloss < 5 or StratAvgA > StratAvgB) and Mode = 2 Then Periods = Periods - (Increment*2) - 1 mode = 1 If Increment > 5 Then Periods = 42 //goes back to default value Increment = 1 //increment is reset Else Increment = Increment + 1 EndIF EndIF mode = 2 Optimize = 0 EndIf Please share your own experience. @Wing @Nicolas I know you said you have also experimented with this, would you mind to share?

This topic has 454 replies, 32 voices, and was last updated 2 years ago by Khaled.

Tagged: machine learning

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04/24/2020 at 2:27 PM #127816

nonetheless

Yes, Fifi’s itf worked for me too … but then, so does this one on DJ 15m with 8 years TBT, no error message. Only on Daily I get the tbt warning

IF high > renkoMax + boxSize THEN
WHILE high > renkoMax + boxSize
renkoMax = renkoMax + boxSize
renkoMin = renkoMin + boxSize
WEND
ELSIF low < renkoMin - boxSize THEN
WHILE low < renkoMin - boxSize
renkoMax = renkoMax - boxSize
renkoMin = renkoMin - boxSize
WEND
ENDIF
 
c1 = renkoMax + boxSize
c2 = renkoMin - boxSize
 
// Conditions to enter long positions
If c1 then
Buy N CONTRACT at renkoMax + boxSize stop
EndIf
 
// Conditions to enter short positions
If c2 then
Sellshort N CONTRACT at renkoMin - boxSize stop
EndIf

IF high > renkoMax + boxSize THEN

WHILE high > renkoMax + boxSize

renkoMax = renkoMax + boxSize

renkoMin = renkoMin + boxSize

WEND

ELSIF low < renkoMin - boxSize THEN

WHILE low < renkoMin - boxSize

renkoMax = renkoMax - boxSize

renkoMin = renkoMin - boxSize

WEND

ENDIF

c1 = renkoMax + boxSize

c2 = renkoMin - boxSize

// Conditions to enter long positions

If c1 then

Buy N CONTRACT at renkoMax + boxSize stop

EndIf

// Conditions to enter short positions

If c2 then

Sellshort N CONTRACT at renkoMin - boxSize stop

EndIf

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Bard

nonetheless

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04/24/2020 at 2:42 PM #127821

GraHal

nonetheless wrote:

Only on Daily I get the tbt warning

But you have got the While and Wend in the code you are getting the problem with … this is what Fifi has been trying to tell us (While and Wend loop causes Issues? ).

Also – as you pointed out – we ditched (or should have?) the While and Wend on the first page??

EDIT / PS

Or am I misreading you? Are you saying you get tbt warning on Fifi code AND the code above with While and Wend on DAILY … so the While and Wend does not appear to be the Issue?

Maybe we should delete this whole Topic and start again!!?? 🙂

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fifi743

GraHal

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04/24/2020 at 3:04 PM #127830

nonetheless

Fifi’s code solves the tbt problem on all TFs but the results are terrible. The original (with While and Wend and at renkoMax + boxSize in the entry conditions) gives 8 years TBT on 15m TF and acceptable results. There’s just something about the Daily that it doesn’t like.

Attached is my version with Fifi’s changes (i think – unless I blundered in the conversion). Run them both and you’ll see what i mean. Makes me think that While and Wend is actually doing something important.

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GraHal

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04/24/2020 at 3:13 PM #127835

GraHal

nonetheless wrote:

Attached is my version with Fifi’s changes (i think – unless I blundered in the conversion)

I get above version to go back to 1971 on Daily and 100,000 bars on every other TF down to M1 with no tbt warning.

But now we just need to get a version that makes profit? 🙂

GraHal

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04/24/2020 at 3:26 PM #127838

nonetheless

Maybe it just doesn’t like my settings – ValueX is now box size and I changed the reset and reps. But where mine makes ~23k profit, the other makes ~10k loss, they are clearly v different animals.

nonetheless

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04/24/2020 at 3:31 PM #127839

Bard

Thanks, good idea, which I followed – pls see screenshot. It still gives me 4x to 5x more profit than the original non VRT system?
The only way I can get the VRT to turn off and match that much lower profit from the non VRT system is to // the VRT code. Why does VRT create so much more profit?
I’ve posted the newly amended nonetheless itf, which I had downloaded just now as advised. Thanks again, hopefully it’s just a simple oversight of mine.

Bard

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04/24/2020 at 3:43 PM #127844

GraHal

Now who are you talking to Bard … Me, Nonetheless, Fifi?? 🙂

I think you must be asking @Vonasi as you mention VRT code?

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04/24/2020 at 4:47 PM #127865

GraHal

GraHal wrote:

get above version to go back to 1971 on Daily and 100,000 bars on every other TF down to M1 with no tbt warning.

When I looked later the Tick by Tick box was not enabled so it may not work on all TF’s with no tbt warnings??

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04/24/2020 at 5:11 PM #127874

nonetheless

I rest my case; While/Wend is there for a reason.

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04/24/2020 at 5:23 PM #127880

fifi743

At first I thought it was the loop while that stopped the tick by tick.
While it’s the stop

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04/24/2020 at 5:51 PM #127884

nonetheless

I have never seen the stop loss written as “Set stop trailing ” … esp when there is no trailing stop code.

The heuristics will work with ValueX as the stop value the way I have it.

It will also run at 30m TF but at 1 hour and higher it gets the tbt warning.

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04/24/2020 at 5:56 PM #127886

fifi743

Buy N CONTRACT at renkoMax + boxSize stop

1	Buy N CONTRACT at renkoMax + boxSize stop

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04/24/2020 at 6:24 PM #127893

Bard

Hi everybody, has there been any consensus as to what the problem really is with the daily tick by tick (tbt) warnings and this code? I really wish there was an admin that could sort this tbt daily warning problem out once and for all because it is taking an inordinate amount of time and energy to resolve.

Even with Fifi’s code using Wend/While, I still get tbt warnings on daily charts!

c1 = renkoMax + boxSize
c2 = renkoMin - boxSize

// Conditions to enter long positions
If c1 then
Buy N CONTRACT at Market
EndIf

// Conditions to enter short positions
If c2 then
Sellshort N CONTRACT at Market
EndIf

And with this code too:

//Fifi
//c1 = renkoMax + boxSize
//c2 = renkoMin - boxSize

If close = renkoMax + boxSize then
Buy N CONTRACT at market
EndIf

If close = renkoMin - boxSize then
Sellshort N CONTRACT at market
EndIf

c1 = renkoMax + boxSize

c2 = renkoMin - boxSize

// Conditions to enter long positions

If c1 then

Buy N CONTRACT at Market

EndIf

// Conditions to enter short positions

If c2 then

Sellshort N CONTRACT at Market

EndIf

And with this code too:

//Fifi

//c1 = renkoMax + boxSize

//c2 = renkoMin - boxSize

If close = renkoMax + boxSize then

Buy N CONTRACT at market

EndIf

If close = renkoMin - boxSize then

Sellshort N CONTRACT at market

EndIf

I’ve also downloaded some of the recent itf’s here (and thank you for posting them) to find they either trade no more than one position or produce tbt daily chart warnings. The slightest modifications, which are then put back to the original itf version, cause problems. I download the original again and it trades okay (although without profit). It’s like the code is SO sensitive it’s ridiculous. See: https://www.prorealcode.com/topic/machine-learning-in-proorder/page/9/#post-126323

I’ve transferred in Nonetheless fast working backest code (even though it looks to all intent and purposes identical to my own) because my 1M ML system had become very slow to backtest, only to find the next day that the nonethless version of code that I’ve put into a newly named system had become sluggish too! (compared to the original nonethless itf and other ML itf’s that have been uploaded here and which I am backtesting in parallel).

Tbt tests:
I suspect the Wend/While conditionality is causing the issue, why it seems to be on the daily chart I don’t know, but I suspect it is this loop code because this is the only time I have ever had so many problems with a tbt test. The problem for me though is that: “at market” is not the same as “at renkoMax + boxSize stop.” Despite all the problems with tbt warnings, this explains the better profits with “at renkoMax + boxSize stop” on backtests where warnings are not being issued. Wend and While are important conditions.

If anyone has a definitive answer to the Wend/While, and/or tbt daily warning issue it would be gratefully received!

Bard

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04/24/2020 at 6:38 PM #127894

Bard

Well spotted, I copied from the Renko forum, shouldn’t that be:

Set Stop pTrailing ValueX?

1	Set Stop pTrailing ValueX?

https://www.prorealcode.com/blog/learning/kinds-trailing-stop-proorder/

Are we back on track!? No tbt warning for 2018-2020:

Ps/ Noticed the C1 and c2 is incorrectly written. Try:

c1 = renkoMax + boxSize
c2 = renkoMin - boxSize

If c1 then
Buy N CONTRACT at market
EndIf

If c2 then
Sellshort N CONTRACT at market
EndIf

c1 = renkoMax + boxSize

c2 = renkoMin - boxSize

If c1 then

Buy N CONTRACT at market

EndIf

If c2 then

Sellshort N CONTRACT at market

EndIf

Problem is:

If c1 then Buy N CONTRACT at market 
EndIf

1 2	If c1 then Buy N CONTRACT at market EndIf

the same as..

Buy N CONTRACT at renkoMax + boxSize STOP
EndIf

1 2	Buy N CONTRACT at renkoMax + boxSize STOP EndIf

Bard

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04/24/2020 at 7:07 PM #127905

nonetheless

Apparently Set stop trailing and Set stop ptrailing are both correct, I’d just never seen it before. But all the variations in your previous post give me the tbt error on the Daily TF.

nonetheless

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