Machine Learning in ProOrder ProRealTime

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  • #128278

    I also get the tbt warning on v4. I was reading through previous comments and found a comment by fifi that the tbt earning has to do with the “stop” within the buy and sellshort code. I’ll continue to do my research on this but my coding skills are not as sophisticated as yours!

    1 user thanked author for this post.
    #128279

    I am completely convinced that results like the v3 Dow 47k in my 3rd screenshot here: https://www.prorealcode.com/topic/machine-learning-in-proorder/page/20/#post-128205
    are being achieved ONLY by PRT failing to do a tick by tick (tbt) test and without actually INFORMING you that it is not being done. That’s why when I came back after lunch and re-tested with the same v3 code the results were far worse and I started to get tbt warnings (even though I had no tbt warnings before I posted my great results before I stopped for lunch).

    PRT is really not doing a tbt test like you think it is. But worse it’s also not informing you that it’s not doing a tbt test! So it gives you “great results” as if you had done a tbt test but there’s not always a warning that it’s relaunching in the background without doing a tbt test.

    Does this sound possible/familiar @Nicolas? I ask because I have no other way of describing the erratic results. And I take screenshots of every result precisely because of these discrepancies I’ve experienced with PRT results. And btw, for the record, I am not putting PRT down: I think the s/ware is absolutely amazing. The sheer range of markets, the layout and the attention to detail, it’s just that I wish it was more consistent.

    #128280

    Did it give you a tbt warning during that 47k Dow backtest?

    I don’t know anymore! I’ve seen plenty and deleted that version meanwhile. But you should have the same results as I do and you had. Seems like it stored something in a cache? More important, do you get the same results on v4 as I do?

    With v4  2000 daily units I get the message, but not with 1500 (from june 2015) . That’s oke and loadingtimes are long enough.

    #128281

    I get a tbt warning even from 30/06/2015 Dow (2000 units). I then get unrealistic results without tbt.
    I think going forward if you see results like 71% Win and 19.5 Gain/Loss with perfect equity curves then it’s fake. The system didn’t warn you that it turned off tbt testing or that something stopped it doing a tbt test. Alternatively… which I have been doing, is only testing over the last 1 or 2yrs and even just this year. As long as the trade number is over 30 that should give statistically significant results.

     

    #128284

    mmm, I tried again, 2000k units daily

    there’s a link to mode setting. At zero I don’t get a message and it goes back to nov 2013 no problem.

    setting mode to 1 I do get a message

     

    #128289

    there’s a link to mode setting.

    Mode? There’s mode used in the ML code but you’re talking about a link, where’s that setting? Cheers.

    #128290

    How can you set the Renko ML systems on Demo if it gives a warning about variables? I assume it means the variable ValueX for the stop loss at the bottom of the code? Pls see image:

    #128293

    where’s that setting?

    In v4 near the top. Got me worried a moment the same variable is used in the ml engine. It uses mode1 en mode2 fortunately!

    warning about variables

    Close the strategy & reload.

    Interesting, let us now how that version goes if its rejected or not !

    #128294

    Paul, it’s fine with Mode = 0 (no 20 point min stop) 2 yrs daily Dow and no tbt relaunch warning. I mentioned yesterday that I was finding this too, that small values were causing a tbt relaunch without tbt testing: https://www.prorealcode.com/topic/machine-learning-in-proorder/page/19/#post-128108

    No, I still can’t launch the rebooted Renko ML1 StpLoss system because of that trailing stop ValueX in the image above. Why do you think that is? I assume you’ve put some of these ML systems on demo with no probs?

    I have also had tbt warnings and relaunches without tbt just from deleting out the optimisation variables in the top of a system. Nothing else was changed but the backtest threw up a warning that tbt was now not possible…

    Sorry to tag you twice @Nicolas, just wondering how to stop these fantasy equity curves (pls see image) with these Machine Learning backtests? The results are too good. Therefore it is not backtesting with tick by tick data (tbt) is it? I get no relaunch warning saying it’s going to now do the backtest without tbt data either. So… how can you trust these results? It would be greatly appreciated if you can get to the bottom of this and figure out what is happening!? System itf attached.

    #128297

    i’ve loaded that strategy on 2000k units daily.

    This is what’s happening, tick by tick is activated and you have checked keep window open.

    you press test and get the message about 1 or more candles could no be examined with tick data etc.

    you press restart without tick, however the window with the code is still open and it has still that check that it’s tested with tick by tick and have this fantasy chart but it’s not

     

    do it another way, remove the check to keep window open

    check probacktest in tick by tick and to the test.

    You get the same warning & fantasy chart, open the code via the equitychart and you see there was no check with tick by tick mode.

     

     

    No, I still can’t launch the rebooted Renko ML1 StpLoss system

    Indeed, didn’t expect that.No variables, reloaded but still the message.  Create a new blanco strategy and copy the code in there.  That fixed it for me.

     

     

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    #128298

    this combination of stoploss & trailing stop doesn’t work in proorder.

    can’t put them in separate rows. So it’s back to the old fashioned trailing stops!

     

     

    #128300

    added a % trailingstop, but results are not so nice anymore without the built-in ts.

     

     

     

    1 user thanked author for this post.
    #128486

    I played around with settings Paul and simplified the entry and exit and re-added Reset Period for better performance. I’ll check out your latest v4 TS tonight or tomorrow. Cheers for posting it!

    Is Once ValueX and Once ValueY doing anything?

    I also wonder with the fact that starting value =40 and max value = 50 how can the green graph show a ValueX and ValueY Boxsize to be smaller than that, at 20 and 10 respectively in this screenshot 1 below:?  The gap between that starting value and max value is the basis of the ML stepping through values to find the right ones.. unless from optimisations and experience you can narrow it down to 40 to 50 boxsize from the get go. (It seems, based on optimisations to be 10 and 20 for both the BoxSize and the Trailing Stop).

    I wrote the above last night, didn’t get round to finishing more testing before commenting. Now I’ve spent the day testing and thinking about what are we really best suited to apply our ML code to?

    Is 1 x ML better than 2 x ML? (Depends if it’s the Ehlers Univ Oscillator, in that case ML2 is better, but with Renko I think ML1 is better).

    But, after tons of optimisations I keep seeing low Boxsizes of 10 or 20 and ditto for the Trailing Stop. Is that achievable in the Demo/Live environment?
    If so what’s the point of setting the starting value at 100 and Max Value to 200 if the ML would do better at figuring out if it’s better to use 10 or 20 in increments of 5?
    Hence Paul’s tight Settings values of 40 and 50 appear to perform better.

    Note: testing with 100 for Boxsize and 100 for Trailing Stop and testing over very short Daily date ranges like Feb to April 2010, it doesn’t produce tbt warnings and the equity curves actually look more realistic: Renko TP ML1 ITF attached (set those values to Boxsize =10o and Trailing Stop =10o).

    So… that just leaves the static “500” figure for Take Profit (TP) that I settled upon after lots of manual tests on different instruments like the Dow, £/$, Brent Crude etc.
    Well what if you apply ML1 to the TP whilst fixing the Boxsize and Trailing Stop at 10 (or 20) each? Please see screenshot 2 – ignore bottom two equity curves.

    Now obviously this was a fully intentioned tbt test, but judging by the smoothness of the equity curve just didn’t turn out to be a tbt test or give you a warning.
    Sometimes, however, if you keep playing with the date ranges — and eventually get that tbt failure warning, and if you’re lucky the offending Renko box that caused the tbt test to fail is at the end of your test dates, and if you hit “close” instead of “launch non tbt” test — you’ll still get to see what the system can do.

    The point is even with these fantasy results the win ratios, the gain/loss ratio and profits are far higher targeting ML1 on the TP value than anything else I’ve seen fantasy result of!

    I also found that the Wend/While was better when ML1 was applied to the Stop Loss system but not always when using Wend/While on the TP system. Depends on the date ranges, if you set the dates to like £/$ Daily 02/03/ to present, the Wend While wins. If you set if to the last 5 months the without Wend/While system wins. So, is it worth applying ML to work out and switch between a system with Wend and While or without Wend and While, can that be done?

    Right, that’s a lot to take in, but it’d be good to get peoples feedback and ideas. Cheers.

     

    #128511

    Also on the same topic as above of switching different types of Renko types:

    Paul, I wondered if there was a conclusion as to whether it was worth trying different Renko types, and if some were greatly more profitable? Cheers. https://www.prorealcode.com/topic/machine-learning-in-proorder/page/12/#post-127225

     

    #128548

    Hi everyone,

    I discover this very interesting file ! Well done Coder Guys  🙂

    But honestly it’s hard to understand how the initial heuristric code works (What it does…What conditions it use to implement or not the ValueX, ValueY) : Someone who has understand can explain the different step because I don’t see how it implement or not the Value

    I try to apply to different strageies but seems to be very capricious. Sometimes it works sometimes not

    When I will understand I think it will be interesting to add the “new” array to have as many values as you want and may be to auto-optimize the code for the parameters of incrementation notably

    Thanks and bye

    Zilliq

     

Viewing 15 posts - 316 through 330 (of 455 total)

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