Machine Learning in ProOrder ProRealTime

• 10/08/2020 at 6:07 PM #146782
  Paul

  Fantasio2020 whatever  number of variables you prefer and works for you.

   

  

  Paul

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  10/08/2020 at 6:07 PM #146783
  Paul

  looks like I got the difference between 200k & 50k fixed on the same strategy. If reset is used, the cycle should restart again too.

  One part will always be a bit doubtful, if reps 1  (ore more) is used, and in a backtest results is +0.01 and live -0.01 it can have on the impact on the rest of the strategy for value x & y.

  That’s why it’s important I guess to have a reset, daily, weekly etc. depending on timeframe.

  

  Paul

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  10/12/2020 at 3:36 PM #147174
  Paul

  this is the code as I’ve it now.

  Also interesting is to optimise the direction 1 to 6. The reset is set to daily here.

  once value1a=6 // 6 once value2a=8 // 8 once heuristicsengine=1 // heuristics engine if heuristicsengine then StartingValue = 4 increment = 1 //5, 20, 10 maxincrement = 2 //5, 10 limit of no of increments either up or reps = 1 //1 number of trades to use for analysis //2 minvalue = 1 //5, minimum allowed value maxvalue = 10 //20, 300, 150 //maximum allowed 12 StartingValue2 = 10 increment2 = 1 //5, 10 maxincrement2 = 2 //1, 30 limit of no of increments either up/down //4 reps2 = 1 //1, 2 nos of trades to use for analysis //3 minvalue2 = 1 //5, minimum allowed value maxvalue2 = 10 //20, 300, 200 maximum allowed value reset = 1 weighting = 1 direction=1 if direction=1 then a1=0 a2=0 a3=0 a4=0 elsif direction=2 then a1=1 a2=0 a3=1 a4=0 elsif direction=3 then a1=0 a2=1 a3=0 a4=1 elsif direction=4 then a1=1 a2=0 a3=0 a4=1 elsif direction=5 then a1=0 a2=1 a3=1 a4=0 elsif direction=6 then a1=1 a2=1 a3=1 a4=1 endif if reset=1 then if intradaybarindex=0 then ValueX = StartingValue Valuey = StartingValue2 WinCountB = 0 WinCountB2 = 0 StratAvgB = 0 StratAvgB2 = 0 BestA = 0 BestA2 = 0 BestB = 0 BestB2 = 0 wincounta = 0 //initialize current win count stratavga = 0 //initialize current avg strategy profit wincounta2 = 0 //initialize current win count stratavga2 = 0 //initialize current avg strategy profit endif else once ValueX = StartingValue once Valuey = StartingValue2 once WinCountB = 0 once WinCountB2 = 0 once StratAvgB = 0 once StratAvgB2 = 0 once BestA = 0 once BestA2 = 0 once BestB = 0 once BestB2 = 0 endif heuristicscyclelimit = 2 if reset=1 then if intradaybarindex=0 then heuristicscycle = 0 endif else once heuristicscycle = 0 endif 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 once valuex = startingvalue once pincpos = a1 //positive increment position once nincpos = a2 //negative increment position once optimise = 0 //initialize heuristicks engine counter (must be incremented at position start or exit) once mode1 = 0 //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 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 = min((valuex + (increment*pincpos)),maxvalue) pincpos = pincpos + 1 mode1 = 1 elsif wincounta < wincountb and stratavga < stratavgb and mode1 = 2 then valuex = min((valuex + (increment*pincpos)),maxvalue) 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 weighting=1 then If reps >= 10 Then WeightedScore = 10 Else WeightedScore = round((reps/100)*100) EndIf ValueX1 = min(round(((BestA*(20-WeightedScore)) + (BestB*WeightedScore))/20),maxvalue) //Lower Reps = Less weight assigned to Win% valuex=max(minvalue,valuex1) EndIf 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 once valuey = startingvalue2 once pincpos2 = a3 //positive increment position once nincpos2 = a4 //negative increment position once optimise2 = 0 //initialize heuristicks engine counter (must be incremented at position start or exit) once mode2 = 0 //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 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 = min((valuey + (increment2*pincpos2)),maxvalue2) pincpos2 = pincpos2 + 1 mode2 = 1 elsif wincounta2 < wincountb2 and stratavga2 < stratavgb2 and mode2 = 2 then valuey = min((valuey + (increment2*pincpos2)),maxvalue2) 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 weighting=1 then If reps2 >= 10 Then WeightedScore2 = 10 Else WeightedScore2 = round((reps2/100)*100) EndIf ValueY1 = min(round(((BestA2*(20-WeightedScore2)) + (BestB2*WeightedScore2))/20),maxvalue2) valuey=max(minvalue2,valuey1) //Lower Reps = Less weight assigned to Win% EndIf endif nincpos2 = 1 pincpos2 = 1 elsif valuey > maxvalue2 then valuey = maxvalue2 elsif valuey < minvalue2 then valuey = minvalue2 endif optimise2 = 0 endif endif // heuristics algorithm 2 end value1=valuex value2=valuey else value1=value1a value2=value2a endif

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  once value1a=6   // 6 once value2a=8   // 8 once heuristicsengine=1 // heuristics engine if heuristicsengine then   StartingValue   = 4 increment       = 1 //5, 20, 10 maxincrement    = 2 //5, 10 limit of no of increments either up or reps            = 1  //1 number of trades to use for analysis //2   minvalue        = 1 //5, minimum allowed value maxvalue        = 10 //20, 300, 150 //maximum allowed 12   StartingValue2 = 10 increment2      = 1 //5, 10 maxincrement2   = 2 //1, 30 limit of no of increments either up/down //4 reps2           = 1  //1, 2 nos of trades to use for analysis //3   minvalue2       = 1 //5, minimum allowed value maxvalue2       = 10 //20, 300, 200 maximum allowed value   reset           = 1 weighting       = 1   direction=1   if direction=1 then a1=0 a2=0 a3=0 a4=0 elsif direction=2 then a1=1 a2=0 a3=1 a4=0 elsif direction=3 then a1=0 a2=1 a3=0 a4=1 elsif direction=4 then a1=1 a2=0 a3=0 a4=1 elsif direction=5 then a1=0 a2=1 a3=1 a4=0 elsif direction=6 then a1=1 a2=1 a3=1 a4=1 endif   if reset=1 then if intradaybarindex=0 then ValueX = StartingValue Valuey = StartingValue2 WinCountB = 0 WinCountB2 = 0 StratAvgB = 0 StratAvgB2 = 0 BestA = 0 BestA2 = 0 BestB = 0 BestB2 = 0 wincounta = 0 //initialize current win count stratavga = 0 //initialize current avg strategy profit wincounta2 = 0 //initialize current win count stratavga2 = 0 //initialize current avg strategy profit endif else once ValueX = StartingValue once Valuey = StartingValue2 once WinCountB = 0 once WinCountB2 = 0 once StratAvgB = 0 once StratAvgB2 = 0 once BestA = 0 once BestA2 = 0 once BestB = 0 once BestB2 = 0   endif   heuristicscyclelimit = 2 if reset=1 then if intradaybarindex=0 then heuristicscycle = 0 endif else once heuristicscycle = 0 endif 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 once valuex  = startingvalue once pincpos = a1 //positive increment position once nincpos = a2 //negative increment position once optimise = 0 //initialize heuristicks engine counter (must be incremented at position start or exit) once mode1 = 0 //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   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 = min((valuex + (increment*pincpos)),maxvalue) pincpos = pincpos + 1 mode1 = 1 elsif wincounta < wincountb and stratavga < stratavgb and mode1 = 2 then valuex = min((valuex + (increment*pincpos)),maxvalue) 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 weighting=1 then If reps >= 10 Then WeightedScore = 10 Else WeightedScore = round((reps/100)*100) EndIf ValueX1 = min(round(((BestA*(20-WeightedScore)) + (BestB*WeightedScore))/20),maxvalue) //Lower Reps = Less weight assigned to Win% valuex=max(minvalue,valuex1) EndIf 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 once valuey = startingvalue2 once pincpos2 = a3 //positive increment position once nincpos2 = a4 //negative increment position once optimise2 = 0 //initialize heuristicks engine counter (must be incremented at position start or exit) once mode2 = 0 //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   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 = min((valuey + (increment2*pincpos2)),maxvalue2) pincpos2 = pincpos2 + 1 mode2 = 1 elsif wincounta2 < wincountb2 and stratavga2 < stratavgb2 and mode2 = 2 then valuey = min((valuey + (increment2*pincpos2)),maxvalue2) 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 weighting=1 then If reps2 >= 10 Then WeightedScore2 = 10 Else WeightedScore2 = round((reps2/100)*100) EndIf ValueY1 = min(round(((BestA2*(20-WeightedScore2)) + (BestB2*WeightedScore2))/20),maxvalue2) valuey=max(minvalue2,valuey1) //Lower Reps = Less weight assigned to Win% EndIf endif nincpos2 = 1 pincpos2 = 1 elsif valuey > maxvalue2 then valuey = maxvalue2 elsif valuey < minvalue2 then valuey = minvalue2 endif optimise2 = 0 endif endif // heuristics algorithm 2 end value1=valuex value2=valuey else value1=value1a value2=value2a endif

   

   

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  Paul

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  10/12/2020 at 8:35 PM #147216
  ullle73

  get error when using your last code paul

  

  ullle73

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  10/12/2020 at 8:49 PM #147218
  GraHal

  ullle73  what errors?

  Paul’s code above is not a complete Algo with Buy and Sell etc.

  

  GraHal

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  10/26/2020 at 10:46 PM #148592
  Khaled

  Hi Juan, Hi All, I’m following your posts and grateful that you share a lot of fancy stuff here. Thanks. I’d like to better understand the operating mode of the so called ML and have a few questions:

  1/ where does the programme store the various results learned from the past?

  2/ what happen if the Algo is stopped for some reason? Are we starting again from scratch the “learning from the past” process? I noticed that even the Algo performance (calculated by PRT) are reset to zero when the same Algo is stopped and restarted, so I guess there is now way to capitalize on previous learning if the Algo is stopped, is that right? if so, is there a way to overcome this?

  3/ have you been running “live” the same programme with and without ML module? Backtest seems to give better results? are you really getting better results in rel trading?

  Facinating ML!!!

  Thanks

  

  Khaled

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  10/27/2020 at 9:22 AM #148627
  juanj

  Hi Khaled, I am unfortunately not very active on the forum lately as I am kept just way too busy between PRT development and my other work. But to briefly answer your questions:

  1. It is stored locally in the respective variables defined in the code (WinCount, StratAvg, Best, etc.)
  2. Yes unfortunately the variables are reset. Although they can be initialized using the commented out once code and using the graph command in backtest to find the latest values.
  3. I use this successfully in most of my live strategies but only using a single heuristics set applied to a single variable not multiple ones as in the code above

  Hope this helps

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  Khaled

  

  juanj

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  10/27/2020 at 4:17 PM #148681
  Khaled

  Hi Juan, Thank you for taking the time to answer my questions. I see in your ML Code that you don’t have CONDITIONS (IF C1 THEN..) before BUY and SHORTSELL instructions, which is not a problem in itself. However, in my case, the pending orders arenot cancelled automatically at the end of the candle, so I’m carying orders with irrelevant market conditions, which not only prevent other Orders with more “recent” conditions to come in but also sometimes stop the Algo…

  Do you have a trick to make the pending orders cancel at the end of each candle?

  Thanks

  Khaled

  defparam cumulateorders = false defparam preloadbars = 2000 TIMEFRAME (15 minutes) N = 1 //Number of Contracts Condition = 1 ///////////////////////////////////////// // CALCULATION OF VALUE X AND VALUE Y // //////////////////////////////////////// boxsizeL = max ( ValueX , 20) boxsizeS = max ( ValueY , 10) 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 IF time>=133000 AND time>200000 then spread = 0.5 ELSIF time>=200000 AND time>220000 then spread = 2.5 ELSIF time>=220000 AND time>133000 then spread = 1 ENDIF IF CONDITION=1 THEN BUY N CONTRACT at (renkoMaxL + boxSizeL + spread) STOP SELLSHORT N CONTRACT at (renkoMinS - boxSizeS - spread) STOP ENDIF SET STOP pTRAILING 5 SET TARGET pPROFIT 1000

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  defparam cumulateorders = false defparam preloadbars    = 2000 TIMEFRAME (15 minutes) N = 1 //Number of Contracts Condition = 1 ///////////////////////////////////////// // CALCULATION OF VALUE X AND VALUE Y  // //////////////////////////////////////// boxsizeL = max ( ValueX , 20) boxsizeS = max ( ValueY , 10) 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 IF time>=133000 AND time>200000 then spread = 0.5 ELSIF time>=200000 AND time>220000 then spread = 2.5 ELSIF time>=220000 AND time>133000 then spread = 1 ENDIF IF CONDITION=1 THEN BUY N CONTRACT at (renkoMaxL + boxSizeL + spread) STOP SELLSHORT N CONTRACT at (renkoMinS - boxSizeS - spread) STOP ENDIF SET STOP pTRAILING 5 SET TARGET pPROFIT 1000

   

   

  

  Khaled

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  11/01/2020 at 4:26 PM #149166
  Fran55

  I have a doubt, and I am not joking, nor hesitating.

  You are dealing with a very interesting topic, but with so many explanations, so many codes, and so many posts it is impossible for me to know if there is something useful.

  I don’t know, it would be interesting for someone to explain in a single post what the code is for and if there is any specific code that is really useful.

  I have lost myself.

  

  Fran55

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  11/01/2020 at 5:31 PM #149171
  Francesco

  You should be thankful to those many explanations, codes and posts 🙂

  If it’s useful you can only understand by yourself with your own tests on your own strategies.

  

  Francesco

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  11/01/2020 at 6:44 PM #149190
  Khaled

  Fran55

  I was skeptical too and I’ve made a quick and dirty test. I’ve put together a simple LONG only code if SAR>Close and EMA21>EMA8 then buy 1 contract (Nasdaq cash 1€, 15 min TF) and exit if SAR<Close and Close<EMA8. This strategy run on a Tick by Tick mode over the period 10 Oct. 2018 to 30 Oct. 2020 (2 years) did generate a Win Rate 40.04%, Profit Ratio 1.09x and Capital gain 2048€ (attached results and ITF file).

  I’ve added a simple ML code on 1 variable (courtesy of juanj) that you can find at (https://www.prorealcode.com/topic/machine-learning-in-proorder/), and the results are better: Win Rate 40.1%, Profit Ratio 1.2x and Capital gain 3057€ (attached results and ITF file). The increment in € absolute gain is +50%!

  You can also note that the number of losing positions have been reduced from 950 to 814 and the Drawdown has been reduced from 1817€ to 1161€. The biggest loss went from -191€ to -113€.

  So, even though I didn’t write the ML code and have nothing to sell 🙂 it seems like it’s working !

  Others have had different experience?

   

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  GraHal

  

  Khaled

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  11/01/2020 at 7:01 PM #149196
  Fran55

  And I thank you very sincerely Francesco, I learn a lot with all of you.

  But it is that in the meantime post and explanations I do not reach any conclusion.
  Not only do I not know exactly how learning works, but I have also tried to include some algorithms in my strategies and, either I can’t, or the statistics come out exactly the same.

  I am not a professional programmer.

  

  Fran55

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  11/01/2020 at 7:03 PM #149197
  Fran55

  Not that Khaled is an exception.

  I don’t know what, or how to include learning in my strategies

  

  Fran55

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  11/01/2020 at 7:09 PM #149198
  Fran55

  Está bien Khaled, he introducido ese código.

  Problems!

  Okay Khaled, I entered that code. Problems!

  

  Fran55

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  11/01/2020 at 7:16 PM #149203
  robertogozzi

  @Fran55

  Only post in the language of the forum that you are posting in. For example English only in the English speaking forums and French only in the French speaking forums.

  Thank you 🙂

   

  

  robertogozzi

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