Machine Learning in ProOrder ProRealTime

• 03/04/2020 at 12:38 PM #121130
  juanj

  @GraHal try this 🙂 The HeuristicsCycleLimit parameter will determine how many ‘cycles’ each algorithm gets. If someone is up to it I also think we should look at introducing different performance metrics like Drawdown vs Profit Ratio to the existing WinRate (WinCount) and AvgProfit (StratAvg) metrics

  HeuristicsCycleLimit = 2 If HeuristicsCycle >= HeuristicsCycleLimit Then If HeuristicsAlgo1 = 1 Then HeuristicsAlgo2 = 1 HeuristicsAlgo1 = 0 ElsIf HeuristicsAlgo2 = 1 Then HeuristicsAlgo1 = 1 HeuristicsAlgo2 = 0 EndIf HeuristicsCycle = 0 EndIf If HeuristicsAlgo1 = 1 Then //Heuristics Algorithm 1 Start If onmarket[1] = 1 and onmarket = 0 Then optimize = optimize + 1 EnDif StartingValue = 200 ResetPeriod = 8 //Specify no of months after which to reset optimization Increment = 20 MaxIncrement = 4 //Limit of no of increments either up or down Reps = 3 //Number of trades to use for analysis MaxValue = 270 //Maximum allowed value MinValue = increment //Minimum allowed value once monthinit = month once yearinit = year If (year = yearinit and month = (monthinit + ResetPeriod)) or (year = (yearinit + 1) and ((12 - monthinit) + month = ResetPeriod)) Then ValueX = StartingValue WinCountB = 0 StratAvgB = 0 BestA = 0 BestB = 0 monthinit = month yearinit = year EndIf once ValueX = StartingValue once PIncPos = 1 //Positive Increment Position once NIncPos = 1 //Neative Increment Position once Optimize = 0 ////Initialize Heuristicks Engine Counter (Must be Incremented at Position Start or Exit) once Mode = 1 //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 Optimize = Reps Then WinCountA = 0 //Initialize current Win Count StratAvgA = 0 //Initialize current Avg Strategy Profit 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]*100000)*-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 Mode = 0 ElsIf WinCountA < WinCountB and StratAvgA < StratAvgB and Mode = 1 Then ValueX = ValueX - (Increment*NIncPos) NIncPos = NIncPos + 1 Mode = 2 ElsIf WinCountA >= WinCountB or StratAvgA >= StratAvgB and Mode = 1 Then ValueX = ValueX + (Increment*PIncPos) PIncPos = PIncPos + 1 Mode = 1 ElsIf WinCountA < WinCountB and StratAvgA < StratAvgB and Mode = 2 Then ValueX = ValueX + (Increment*PIncPos) PIncPos = PIncPos + 1 Mode = 1 ElsIf WinCountA >= WinCountB or StratAvgA >= StratAvgB and Mode = 2 Then ValueX = ValueX - (Increment*NIncPos) NIncPos = NIncPos + 1 Mode = 2 EndIf If NIncPos > MaxIncrement or PIncPos > MaxIncrement Then If BestA = BestB Then ValueX = BestA Else If reps >= 10 Then WeightedScore = 10 Else WeightedScore = round((reps/100)*100) EndIf ValueX = round(((BestA*(20-WeightedScore)) + (BestB*WeightedScore))/20) //Lower Reps = Less weight assigned to Win% EndIf NIncPos = 1 PIncPos = 1 ElsIf ValueX > MaxValue Then ValueX = MaxValue ElsIf ValueX < MinValue Then ValueX = MinValue EndIF Optimize = 0 EndIf // Heuristics Algorithm 1 End ElsIf HeuristicsAlgo2 = 1 Then // Heuristics Algorithm 2 Start If onmarket[1] = 1 and onmarket = 0 Then optimize2 = optimize2 + 1 Endif StartingValue2 = 200 ResetPeriod2 = 8 //Specify no of months after which to reset optimization Increment2 = 20 MaxIncrement2 = 4 //Limit of no of increments either up or down Reps2 = 3 //Number of trades to use for analysis MaxValue2 = 270 //Maximum allowed value MinValue2 = increment //Minimum allowed value once monthinit2 = month once yearinit2 = year If (year = yearinit2 and month = (monthinit2 + ResetPeriod2)) or (year = (yearinit2 + 1) and ((12 - monthinit2) + month = ResetPeriod2)) Then ValueY = StartingValue2 WinCountB2 = 0 StratAvgB2 = 0 BestA2 = 0 BestB2 = 0 monthinit2 = month yearinit2 = year EndIf once ValueY = StartingValue2 once PIncPos2 = 1 //Positive Increment Position once NIncPos2 = 1 //Neative Increment Position once Optimize2 = 0 ////Initialize Heuristicks Engine Counter (Must be Incremented at Position Start or Exit) once Mode2 = 1 //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 Optimize2 = Reps2 Then WinCountA2 = 0 //Initialize current Win Count StratAvgA2 = 0 //Initialize current Avg Strategy Profit HeuristicsCycle = HeuristicsCycle + 1 For i2 = 1 to Reps2 Do If positionperf(i) > 0 Then WinCountA2 = WinCountA2 + 1 //Increment Current WinCount EndIf StratAvgA2 = StratAvgA2 + (((PositionPerf(i)*countofposition[i]*100000)*-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 Mode = 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 = ValueY + (Increment2*PIncPos2) PIncPos2 = PIncPos2 + 1 Mode = 1 ElsIf WinCountA2 < WinCountB2 and StratAvgA2 < StratAvgB2 and Mode2 = 2 Then ValueY = ValueY + (Increment2*PIncPos2) 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 = BestA Else If reps2 >= 10 Then WeightedScore2 = 10 Else WeightedScore2 = round((reps2/100)*100) EndIf ValueY = round(((BestA2*(20-WeightedScore2)) + (BestB2*WeightedScore2))/20) //Lower Reps = Less weight assigned to Win% EndIf NIncPos2 = 1 PIncPos2 = 1 ElsIf ValueY > MaxValue2 Then ValueY = MaxValue2 ElsIf ValueY < MinValue2 Then ValueY = MinValue2 EndIF Optimize2 = 0 EndIf // Heuristics Algorithm 2 End 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

  HeuristicsCycleLimit = 2   If HeuristicsCycle >= HeuristicsCycleLimit  Then If HeuristicsAlgo1 = 1 Then HeuristicsAlgo2 = 1 HeuristicsAlgo1 = 0 ElsIf HeuristicsAlgo2 = 1 Then HeuristicsAlgo1 = 1 HeuristicsAlgo2 = 0 EndIf HeuristicsCycle = 0 EndIf   If HeuristicsAlgo1 = 1 Then   //Heuristics Algorithm 1 Start If onmarket[1] = 1 and onmarket = 0 Then optimize = optimize + 1 EnDif StartingValue = 200 ResetPeriod = 8 //Specify no of months after which to reset optimization Increment = 20 MaxIncrement = 4 //Limit of no of increments either up or down Reps = 3 //Number of trades to use for analysis MaxValue = 270 //Maximum allowed value MinValue = increment //Minimum allowed value once monthinit = month once yearinit = year If (year = yearinit and month = (monthinit + ResetPeriod)) or (year = (yearinit + 1) and ((12 - monthinit) + month = ResetPeriod)) Then ValueX = StartingValue WinCountB = 0 StratAvgB = 0 BestA = 0 BestB = 0 monthinit = month yearinit = year EndIf once ValueX = StartingValue once PIncPos = 1 //Positive Increment Position once NIncPos = 1 //Neative Increment Position once Optimize = 0 ////Initialize Heuristicks Engine Counter (Must be Incremented at Position Start or Exit) once Mode = 1 //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 Optimize = Reps Then WinCountA = 0 //Initialize current Win Count StratAvgA = 0 //Initialize current Avg Strategy Profit 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]*100000)*-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 Mode = 0 ElsIf WinCountA < WinCountB and StratAvgA < StratAvgB and Mode = 1 Then ValueX = ValueX - (Increment*NIncPos) NIncPos = NIncPos + 1 Mode = 2 ElsIf WinCountA >= WinCountB or StratAvgA >= StratAvgB and Mode = 1 Then ValueX = ValueX + (Increment*PIncPos) PIncPos = PIncPos + 1 Mode = 1 ElsIf WinCountA < WinCountB and StratAvgA < StratAvgB and Mode = 2 Then ValueX = ValueX + (Increment*PIncPos) PIncPos = PIncPos + 1 Mode = 1 ElsIf WinCountA >= WinCountB or StratAvgA >= StratAvgB and Mode = 2 Then ValueX = ValueX - (Increment*NIncPos) NIncPos = NIncPos + 1 Mode = 2 EndIf If NIncPos > MaxIncrement or PIncPos > MaxIncrement Then If BestA = BestB Then ValueX = BestA Else If reps >= 10 Then WeightedScore = 10 Else WeightedScore = round((reps/100)*100) EndIf ValueX = round(((BestA*(20-WeightedScore)) + (BestB*WeightedScore))/20) //Lower Reps = Less weight assigned to Win% EndIf NIncPos = 1 PIncPos = 1 ElsIf ValueX > MaxValue Then ValueX = MaxValue ElsIf ValueX < MinValue Then ValueX = MinValue EndIF Optimize = 0 EndIf // Heuristics Algorithm 1 End   ElsIf HeuristicsAlgo2 = 1 Then   // Heuristics Algorithm 2 Start If onmarket[1] = 1 and onmarket = 0 Then optimize2 = optimize2 + 1 Endif StartingValue2 = 200 ResetPeriod2 = 8 //Specify no of months after which to reset optimization Increment2 = 20 MaxIncrement2 = 4 //Limit of no of increments either up or down Reps2 = 3 //Number of trades to use for analysis MaxValue2 = 270 //Maximum allowed value MinValue2 = increment //Minimum allowed value once monthinit2 = month once yearinit2 = year If (year = yearinit2 and month = (monthinit2 + ResetPeriod2)) or (year = (yearinit2 + 1) and ((12 - monthinit2) + month = ResetPeriod2)) Then ValueY = StartingValue2 WinCountB2 = 0 StratAvgB2 = 0 BestA2 = 0 BestB2 = 0 monthinit2 = month yearinit2 = year EndIf once ValueY = StartingValue2 once PIncPos2 = 1 //Positive Increment Position once NIncPos2 = 1 //Neative Increment Position once Optimize2 = 0 ////Initialize Heuristicks Engine Counter (Must be Incremented at Position Start or Exit) once Mode2 = 1 //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 Optimize2 = Reps2 Then WinCountA2 = 0 //Initialize current Win Count StratAvgA2 = 0 //Initialize current Avg Strategy Profit HeuristicsCycle = HeuristicsCycle + 1 For i2 = 1 to Reps2 Do If positionperf(i) > 0 Then WinCountA2 = WinCountA2 + 1 //Increment Current WinCount EndIf StratAvgA2 = StratAvgA2 + (((PositionPerf(i)*countofposition[i]*100000)*-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 Mode = 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 = ValueY + (Increment2*PIncPos2) PIncPos2 = PIncPos2 + 1 Mode = 1 ElsIf WinCountA2 < WinCountB2 and StratAvgA2 < StratAvgB2 and Mode2 = 2 Then ValueY = ValueY + (Increment2*PIncPos2) 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 = BestA Else If reps2 >= 10 Then WeightedScore2 = 10 Else WeightedScore2 = round((reps2/100)*100) EndIf ValueY = round(((BestA2*(20-WeightedScore2)) + (BestB2*WeightedScore2))/20) //Lower Reps = Less weight assigned to Win% EndIf NIncPos2 = 1 PIncPos2 = 1 ElsIf ValueY > MaxValue2 Then ValueY = MaxValue2 ElsIf ValueY < MinValue2 Then ValueY = MinValue2 EndIF Optimize2 = 0 EndIf // Heuristics Algorithm 2 End   EndIf

   

  2 users thanked author for this post.

  Paul, GraHal

  

  juanj

  Participant

  Topics: 51

  Replies: 505

  Been thanked: 170 times
  03/04/2020 at 1:56 PM #121137
  GraHal

  juanj wrote:

  Here is the version of the algo outputting ‘ValueY

  Referring to Line numbers of the version2 / ValueY posted with the link above, the ‘2’ is missed off  …

  Line 123 –  increment
  Line 157 & 160 – i
  Line 180 & 188 –  Mode
  Line 201 – BestA

  I’m not trying to be clever, I ran the ValueY version on its own as part of a trial of my ‘barindex idea’ and the syntax checker told me the above were not defined! 🙂

  I’ll now have a go with the HeuristicsCycleLimit.

   

  As an aside … anybody got any ideas / code to identify even & odd number barindex ?

  

  GraHal

  Participant

  Topics: 214

  Replies: 8830

  Been thanked: 2200 times
  03/04/2020 at 2:40 PM #121143
  GraHal

  GraHal wrote:

  identify even & odd number barindex

  Good how ideas come when away from the screen!? 🙂

  I’m not there yet, but I’m thinking around ?? …

  If barindex mod 2 = 1 Then //odd barindex AND If barindex mod 2 = 0 Then //even barindex

  1 2 3

  If barindex mod 2 = 1 Then //odd barindex AND If barindex mod 2 = 0 Then //even barindex

   

   

  

  GraHal

  Participant

  Topics: 214

  Replies: 8830

  Been thanked: 2200 times
  03/04/2020 at 4:50 PM #121159
  GraHal

  Below is the HeuristicsCycleLimit code with the corrections mentioned 2 posts above … 2 was missing here and there in Algo 2.

  Least I can do to save JuanJ some time for letting us in on his coding gems! 🙂

  HeuristicsCycleLimit = 2 If HeuristicsCycle >= HeuristicsCycleLimit Then If HeuristicsAlgo1 = 1 Then HeuristicsAlgo2 = 1 HeuristicsAlgo1 = 0 ElsIf HeuristicsAlgo2 = 1 Then HeuristicsAlgo1 = 1 HeuristicsAlgo2 = 0 EndIf HeuristicsCycle = 0 EndIf If HeuristicsAlgo1 = 1 Then //Heuristics Algorithm 1 Start //////////////////////////////////////////////////// If onmarket[1] = 1 and onmarket = 0 Then optimize = optimize + 1 EnDif StartingValue = 8 //200 ResetPeriod = 8 //Specify no of months after which to reset optimization Increment = 2 //20 MaxIncrement = 24 //4 //Limit of no of increments either up or down Reps = 3 //Number of trades to use for analysis MaxValue = 48 //270 //Maximum allowed value MinValue = increment //Minimum allowed value once monthinit = month once yearinit = year If (year = yearinit and month = (monthinit + ResetPeriod)) or (year = (yearinit + 1) and ((12 - monthinit) + month = ResetPeriod)) Then ValueX = StartingValue WinCountB = 0 StratAvgB = 0 BestA = 0 BestB = 0 monthinit = month yearinit = year EndIf once ValueX = StartingValue once PIncPos = 1 //Positive Increment Position once NIncPos = 1 //Neative Increment Position once Optimize = 0 ////Initialize Heuristicks Engine Counter (Must be Incremented at Position Start or Exit) once Mode = 1 //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 Optimize = Reps Then WinCountA = 0 //Initialize current Win Count StratAvgA = 0 //Initialize current Avg Strategy Profit 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]*100000)*-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 Mode = 0 ElsIf WinCountA < WinCountB and StratAvgA < StratAvgB and Mode = 1 Then ValueX = ValueX - (Increment*NIncPos) NIncPos = NIncPos + 1 Mode = 2 ElsIf WinCountA >= WinCountB or StratAvgA >= StratAvgB and Mode = 1 Then ValueX = ValueX + (Increment*PIncPos) PIncPos = PIncPos + 1 Mode = 1 ElsIf WinCountA < WinCountB and StratAvgA < StratAvgB and Mode = 2 Then ValueX = ValueX + (Increment*PIncPos) PIncPos = PIncPos + 1 Mode = 1 ElsIf WinCountA >= WinCountB or StratAvgA >= StratAvgB and Mode = 2 Then ValueX = ValueX - (Increment*NIncPos) NIncPos = NIncPos + 1 Mode = 2 EndIf If NIncPos > MaxIncrement or PIncPos > MaxIncrement Then If BestA = BestB Then ValueX = BestA Else If reps >= 10 Then WeightedScore = 10 Else WeightedScore = round((reps/100)*100) EndIf ValueX = round(((BestA*(20-WeightedScore)) + (BestB*WeightedScore))/20) //Lower Reps = Less weight assigned to Win% EndIf NIncPos = 1 PIncPos = 1 ElsIf ValueX > MaxValue Then ValueX = MaxValue ElsIf ValueX < MinValue Then ValueX = MinValue EndIF Optimize = 0 EndIf // Heuristics Algorithm 1 End ////////////////////////////////////////////////////// ElsIf HeuristicsAlgo2 = 1 Then // Heuristics Algorithm 2 Start //////////////////////////////////////////////////// If onmarket[1] = 1 and onmarket = 0 Then optimize2 = optimize2 + 1 Endif StartingValue2 = 16 //200 ResetPeriod2 = 8 //Specify no of months after which to reset optimization Increment2 = 2 //20 MaxIncrement2 = 24 //4 //Limit of no of increments either up or down Reps2 = 3 //Number of trades to use for analysis MaxValue2 = 48 //270 //Maximum allowed value MinValue2 = increment2 //Minimum allowed value once monthinit2 = month once yearinit2 = year If (year = yearinit2 and month = (monthinit2 + ResetPeriod2)) or (year = (yearinit2 + 1) and ((12 - monthinit2) + month = ResetPeriod2)) Then ValueY = StartingValue2 WinCountB2 = 0 StratAvgB2 = 0 BestA2 = 0 BestB2 = 0 monthinit2 = month yearinit2 = year EndIf once ValueY = StartingValue2 once PIncPos2 = 1 //Positive increment2 Position once NIncPos2 = 1 //Neative increment2 Position once Optimize2 = 0 ////Initialize Heuristicks Engine Counter (Must be Incremented at Position Start or Exit) once Mode2 = 1 //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 Optimize2 = Reps2 Then WinCountA2 = 0 //Initialize current Win Count StratAvgA2 = 0 //Initialize current Avg Strategy Profit 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]*100000)*-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 = ValueY + (Increment2*PIncPos2) PIncPos2 = PIncPos2 + 1 Mode2 = 1 ElsIf WinCountA2 < WinCountB2 and StratAvgA2 < StratAvgB2 and Mode2 = 2 Then ValueY = ValueY + (Increment2*PIncPos2) 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 reps2 >= 10 Then WeightedScore2 = 10 Else WeightedScore2 = round((reps2/100)*100) EndIf ValueY = round(((BestA2*(20-WeightedScore2)) + (BestB2*WeightedScore2))/20) //Lower Reps = Less weight assigned to Win% EndIf NIncPos2 = 1 PIncPos2 = 1 ElsIf ValueY > MaxValue2 Then ValueY = MaxValue2 ElsIf ValueY < MinValue2 Then ValueY = MinValue2 EndIF Optimize2 = 0 EndIf // Heuristics Algorithm 2 End ////////////////////////////////////////////////////////

  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

  HeuristicsCycleLimit = 2 If HeuristicsCycle >= HeuristicsCycleLimit  Then If HeuristicsAlgo1 = 1 Then HeuristicsAlgo2 = 1 HeuristicsAlgo1 = 0 ElsIf HeuristicsAlgo2 = 1 Then HeuristicsAlgo1 = 1 HeuristicsAlgo2 = 0 EndIf HeuristicsCycle = 0 EndIf If HeuristicsAlgo1 = 1 Then //Heuristics Algorithm 1 Start //////////////////////////////////////////////////// If onmarket[1] = 1 and onmarket = 0 Then optimize = optimize + 1 EnDif StartingValue = 8 //200 ResetPeriod = 8 //Specify no of months after which to reset optimization Increment = 2 //20 MaxIncrement = 24 //4 //Limit of no of increments either up or down Reps = 3 //Number of trades to use for analysis MaxValue = 48 //270 //Maximum allowed value MinValue = increment //Minimum allowed value once monthinit = month once yearinit = year If (year = yearinit and month = (monthinit + ResetPeriod)) or (year = (yearinit + 1) and ((12 - monthinit) + month = ResetPeriod)) Then ValueX = StartingValue WinCountB = 0 StratAvgB = 0 BestA = 0 BestB = 0 monthinit = month yearinit = year EndIf once ValueX = StartingValue once PIncPos = 1 //Positive Increment Position once NIncPos = 1 //Neative Increment Position once Optimize = 0 ////Initialize Heuristicks Engine Counter (Must be Incremented at Position Start or Exit) once Mode = 1 //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 Optimize = Reps Then WinCountA = 0 //Initialize current Win Count StratAvgA = 0 //Initialize current Avg Strategy Profit 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]*100000)*-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 Mode = 0 ElsIf WinCountA < WinCountB and StratAvgA < StratAvgB and Mode = 1 Then ValueX = ValueX - (Increment*NIncPos) NIncPos = NIncPos + 1 Mode = 2 ElsIf WinCountA >= WinCountB or StratAvgA >= StratAvgB and Mode = 1 Then ValueX = ValueX + (Increment*PIncPos) PIncPos = PIncPos + 1 Mode = 1 ElsIf WinCountA < WinCountB and StratAvgA < StratAvgB and Mode = 2 Then ValueX = ValueX + (Increment*PIncPos) PIncPos = PIncPos + 1 Mode = 1 ElsIf WinCountA >= WinCountB or StratAvgA >= StratAvgB and Mode = 2 Then ValueX = ValueX - (Increment*NIncPos) NIncPos = NIncPos + 1 Mode = 2 EndIf If NIncPos > MaxIncrement or PIncPos > MaxIncrement Then If BestA = BestB Then ValueX = BestA Else If reps >= 10 Then WeightedScore = 10 Else WeightedScore = round((reps/100)*100) EndIf ValueX = round(((BestA*(20-WeightedScore)) + (BestB*WeightedScore))/20) //Lower Reps = Less weight assigned to Win% EndIf NIncPos = 1 PIncPos = 1 ElsIf ValueX > MaxValue Then ValueX = MaxValue ElsIf ValueX < MinValue Then ValueX = MinValue EndIF Optimize = 0 EndIf // Heuristics Algorithm 1 End ////////////////////////////////////////////////////// ElsIf HeuristicsAlgo2 = 1 Then // Heuristics Algorithm 2 Start //////////////////////////////////////////////////// If onmarket[1] = 1 and onmarket = 0 Then optimize2 = optimize2 + 1 Endif StartingValue2 = 16 //200 ResetPeriod2 = 8 //Specify no of months after which to reset optimization Increment2 = 2 //20 MaxIncrement2 = 24 //4 //Limit of no of increments either up or down Reps2 = 3 //Number of trades to use for analysis MaxValue2 = 48 //270 //Maximum allowed value MinValue2 = increment2 //Minimum allowed value once monthinit2 = month once yearinit2 = year If (year = yearinit2 and month = (monthinit2 + ResetPeriod2)) or (year = (yearinit2 + 1) and ((12 - monthinit2) + month = ResetPeriod2)) Then ValueY = StartingValue2 WinCountB2 = 0 StratAvgB2 = 0 BestA2 = 0 BestB2 = 0 monthinit2 = month yearinit2 = year EndIf once ValueY = StartingValue2 once PIncPos2 = 1 //Positive increment2 Position once NIncPos2 = 1 //Neative increment2 Position once Optimize2 = 0 ////Initialize Heuristicks Engine Counter (Must be Incremented at Position Start or Exit) once Mode2 = 1 //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 Optimize2 = Reps2 Then WinCountA2 = 0 //Initialize current Win Count StratAvgA2 = 0 //Initialize current Avg Strategy Profit 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]*100000)*-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 = ValueY + (Increment2*PIncPos2) PIncPos2 = PIncPos2 + 1 Mode2 = 1 ElsIf WinCountA2 < WinCountB2 and StratAvgA2 < StratAvgB2 and Mode2 = 2 Then ValueY = ValueY + (Increment2*PIncPos2) 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 reps2 >= 10 Then WeightedScore2 = 10 Else WeightedScore2 = round((reps2/100)*100) EndIf ValueY = round(((BestA2*(20-WeightedScore2)) + (BestB2*WeightedScore2))/20) //Lower Reps = Less weight assigned to Win% EndIf NIncPos2 = 1 PIncPos2 = 1 ElsIf ValueY > MaxValue2 Then ValueY = MaxValue2 ElsIf ValueY < MinValue2 Then ValueY = MinValue2 EndIF Optimize2 = 0 EndIf   // Heuristics Algorithm 2 End ////////////////////////////////////////////////////////

   

  

  GraHal

  Participant

  Topics: 214

  Replies: 8830

  Been thanked: 2200 times
  03/04/2020 at 5:31 PM #121168
  GraHal

  JuanJ you sure below code works please?

  I can’t get any results using below … despite trying what I thought was logical re changes etc! 🙂

  Maybe you try it if you get chance please?

  Or anybody else get below to work (using the full code above)?

  HeuristicsCycleLimit = 2 If HeuristicsCycle >= HeuristicsCycleLimit Then If HeuristicsAlgo1 = 1 Then HeuristicsAlgo2 = 1 HeuristicsAlgo1 = 0 ElsIf HeuristicsAlgo2 = 1 Then HeuristicsAlgo1 = 1 HeuristicsAlgo2 = 0 EndIf HeuristicsCycle = 0 EndIf If HeuristicsAlgo1 = 1 Then

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

  HeuristicsCycleLimit = 2 If HeuristicsCycle >= HeuristicsCycleLimit  Then If HeuristicsAlgo1 = 1 Then HeuristicsAlgo2 = 1 HeuristicsAlgo1 = 0 ElsIf HeuristicsAlgo2 = 1 Then HeuristicsAlgo1 = 1 HeuristicsAlgo2 = 0 EndIf HeuristicsCycle = 0 EndIf If HeuristicsAlgo1 = 1 Then

   

   

  

  GraHal

  Participant

  Topics: 214

  Replies: 8830

  Been thanked: 2200 times
  03/04/2020 at 5:50 PM #121171
  juanj

  Ah! I forgot to initialize the variables:

  HeuristicsCycleLimit = 2 once HeuristicsCycle = 0 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 EndIf

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16

  HeuristicsCycleLimit = 2   once HeuristicsCycle = 0 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 EndIf

   

  2 users thanked author for this post.

  Paul, GraHal

  

  juanj

  Participant

  Topics: 51

  Replies: 505

  Been thanked: 170 times
  03/04/2020 at 9:53 PM #121186
  GraHal

  I should be able to GRAPH ValueX and ValueY as normal?

  If yes then mine isn’t working with the 2 Algos as ValueX and ValueY GRAPH as constant starting values.

  I’m going to start again with one Algo! 🙂

  

  GraHal

  Participant

  Topics: 214

  Replies: 8830

  Been thanked: 2200 times
  03/05/2020 at 11:19 AM #121221
  GraHal

  I give up! I can’t get it to work, it doesnt give bad results … it doesn’t even even start.

  I’m sure it is something simple, although I’m sure I’ve tried everything simple!? 🙂

  I thought I was getting 1 x Algo to work. but I realise now that I was optimising the starting value and the starting value  continued to be used for all trades!

  Seems to have gone quiet after the first few flurries of excitement?

  Anybody else got it to work?

  
  @Juanj I have changed your values to my respective values etc, but how are you defining … Best Avg Strategy Profit?

   

  

  GraHal

  Participant

  Topics: 214

  Replies: 8830

  Been thanked: 2200 times
  03/05/2020 at 11:27 AM #121222
  pableitor

  I feel somewhat stupid  but I don’t have a clue what this heuristic algo code does ! Maybe I’m not the only one…can anybody explain in a few sentences how does it work?

  Thanks

  

  pableitor

  Participant

  Topics: 20

  Replies: 127

  Been thanked: 47 times
  03/05/2020 at 11:36 AM #121224
  GraHal

  pableitor wrote:

  can anybody explain in a few sentences how does it work

  It optimises 1 x variable value up / down  1 x pre-set increment depending on the performance of the previous 3 (pre-set number) trades.

  I am reading between the lines of the code (as I can’t follow it all) but what I’m not clear about is … how does the heuristics decide that the one or all of the past 3 trades were not just bad trades anyway?? As we all know we can get  a bad run for while.

  I guess the heuristics must be comparing against an average profit … which is why I asked JuanJ how  Best Avg Strategy Profit is defined as this must be critical.

  But at this stage I’d be happy if I could see the GRAPH of ValueX moving from it’s starting value! 🙂

   

   

  2 users thanked author for this post.

  pableitor, Matriciel

  

  GraHal

  Participant

  Topics: 214

  Replies: 8830

  Been thanked: 2200 times
  03/05/2020 at 12:15 PM #121229
  juanj

  @GraHal Please share the ITF file of the strategy you wish to implement the algorithm to and I will have a look to see where the problem is.

  Then to further elaborate on GraHal’s explanation:

  The algorithm also keeps track of the following:

  • Best average performance (Profit) measured over all the previous evaluation periods (StratAvgB)
  • Best win rate (Win %) measured over a all the previous evaluation periods (WinCountB)

  It then measures and saves the same metrics but only for the last evaluation period (StratAvgA and WinCountA) and compares them to the above.

  It then starts by systematically incrementing the target variables both up and down to see what appears to improve performance most

  There are also some other calculations going on but that is mostly to achieve the above.

   

  5 users thanked author for this post.

  kj1988, swedshare, Bard, pableitor, Matriciel

  

  juanj

  Participant

  Topics: 51

  Replies: 505

  Been thanked: 170 times
  03/05/2020 at 12:18 PM #121230
  Francesco

  I just added the machine learning into a system, here’s the results (before and after).

  Very impressive, and also the robustness test went up in total average!

  4 users thanked author for this post.

  MAKSIDE, Bard, Paul, nonetheless

  

  Francesco

  Participant

  Topics: 32

  Replies: 439

  Been thanked: 200 times
  03/05/2020 at 4:22 PM #121274
  GraHal

  juanj wrote:

  I will have a look to see where the problem is.

  Thank you, I may take you up on the offer! 🙂

  I am learning stuff by me keep asking myself  … “why the eff isn’t it working?” and as your code is applicable to any strategy it is time well sweated over! But it sure don’t feel like it yet!  🙂

  I got it going on another strategy.

  Should your heuristic code work on strategies that switch position from  Long to Short with no bars not onmarket ?

  

  GraHal

  Participant

  Topics: 214

  Replies: 8830

  Been thanked: 2200 times
  03/05/2020 at 5:40 PM #121286
  juanj

  Should your heuristic code work on strategies that switch position from  Long to Short with no bars not onmarket ?

  Yip that is the problem. Solution;

  Replace this:

  If onmarket[1] = 1 and onmarket = 0 Then optimize = optimize + 1 EndIf

  1 2 3

  If onmarket[1] = 1 and onmarket = 0 Then optimize = optimize + 1 EndIf

  With This:

  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 optimize = optimize + 1 EndIf

  1 2 3

  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 optimize = optimize + 1 EndIf

   

  2 users thanked author for this post.

  Paul, GraHal

  

  juanj

  Participant

  Topics: 51

  Replies: 505

  Been thanked: 170 times
  03/06/2020 at 9:22 AM #121318
  Paul

  hi juanj

  one algo works, but 2 fails somewhere.

  I created a basic strategy on a second timeframe for testing. Can you see what is wrong please below?

   

  defparam cumulateorders = false defparam preloadbars = 10000 defparam flatbefore = 080000 defparam flatafter = 220000 period1=7 period2=14 HeuristicsCycleLimit = 2 If HeuristicsCycle >= HeuristicsCycleLimit Then If HeuristicsAlgo1 = 1 Then HeuristicsAlgo2 = 1 HeuristicsAlgo1 = 0 ElsIf HeuristicsAlgo2 = 1 Then HeuristicsAlgo1 = 1 HeuristicsAlgo2 = 0 EndIf HeuristicsCycle = 0 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 optimize = optimize + 1 EndIf StartingValue = period1 ResetPeriod = 3 //Specify no of months after which to reset optimization Increment = 1 MaxIncrement = 7 //Limit of no of increments either up or down Reps = 3 //Number of trades to use for analysis MinValue = 2 //Minimum allowed value MaxValue = 14 //Maximum allowed value If monthinit = 1 or monthinit = 3 or monthinit = 5 or monthinit = 7 or monthinit = 8 or monthinit = 10 or monthinit = 12 Then MonthDays = 31 ElsIf monthinit = 4 or monthinit = 6 or monthinit = 9 or monthinit = 11 Then MonthDays = 30 ElsIf monthinit = 2 Then If (yearinit/4 = round(yearinit/4)) or (yearinit/400 = round(yearinit/400)) Then //haha not sure how exactly to do this MonthDays = 29 //leap year Else MonthDays = 28 EndIf EndIf If (month = monthinit and day = dayinit + ResetPeriod) or (month = monthinit + 1 and (day + (MonthDays - dayinit)) >= ResetPeriod) Then ValueX = StartingValue WinCountB = 0 StratAvgB = 0 BestA = 0 BestB = 0 dayinit = day monthinit = month yearinit = year EndIf once ValueX = StartingValue once PIncPos = 1 //Positive Increment Position once NIncPos = 1 //Neative Increment Position once Optimize = 0 ////Initialize Heuristicks Engine Counter (Must be Incremented at Position Start or Exit) once Mode = 1 //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 Optimize = Reps Then WinCountA = 0 //Initialize current Win Count StratAvgA = 0 //Initialize current Avg Strategy Profit 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]*100000)*-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 Mode = 0 ElsIf WinCountA < WinCountB and StratAvgA < StratAvgB and Mode = 1 Then ValueX = ValueX - (Increment*NIncPos) NIncPos = NIncPos + 1 Mode = 2 ElsIf WinCountA >= WinCountB or StratAvgA >= StratAvgB and Mode = 1 Then ValueX = ValueX + (Increment*PIncPos) PIncPos = PIncPos + 1 Mode = 1 ElsIf WinCountA < WinCountB and StratAvgA < StratAvgB and Mode = 2 Then ValueX = ValueX + (Increment*PIncPos) PIncPos = PIncPos + 1 Mode = 1 ElsIf WinCountA >= WinCountB or StratAvgA >= StratAvgB and Mode = 2 Then ValueX = ValueX - (Increment*NIncPos) NIncPos = NIncPos + 1 Mode = 2 EndIf If NIncPos > MaxIncrement or PIncPos > MaxIncrement Then If BestA = BestB Then ValueX = BestA Else If reps >= 10 Then WeightedScore = 10 Else WeightedScore = round((reps/100)*100) EndIf ValueX = round(((BestA*(20-WeightedScore)) + (BestB*WeightedScore))/20) //Lower Reps = Less weight assigned to Win% EndIf NIncPos = 1 PIncPos = 1 ElsIf ValueX > MaxValue Then ValueX = MaxValue ElsIf ValueX < MinValue Then ValueX = MinValue EndIF Optimize = 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 optimize2 = optimize2 + 1 EndIf StartingValue2 = period2 ResetPeriod2 = 3 //Specify no of months after which to reset optimization Increment2 = 1 MaxIncrement2 = 7 //Limit of no of increments either up or down Reps2 = 3 //Number of trades to use for analysis MinValue2 = 15 //Minimum allowed value MaxValue2 = 28 //Maximum allowed value If monthinit2 = 1 or monthinit2 = 3 or monthinit2 = 5 or monthinit2 = 7 or monthinit2 = 8 or monthinit2 = 10 or monthinit2 = 12 Then MonthDays2 = 31 ElsIf monthinit2 = 4 or monthinit2 = 6 or monthinit2 = 9 or monthinit2 = 11 Then MonthDays2 = 30 ElsIf monthinit2 = 2 Then If (yearinit2/4 = round(yearinit2/4)) or (yearinit2/400 = round(yearinit2/400)) Then //haha not sure how exactly to do this MonthDays2 = 29 //leap year Else MonthDays2 = 28 EndIf EndIf If (month = monthinit2 and day = dayinit2 + ResetPeriod2) or (month = monthinit2 + 1 and (day + (MonthDays2 - dayinit2)) >= ResetPeriod2) Then ValueY = StartingValue2 WinCountB2 = 0 StratAvgB2 = 0 BestA2 = 0 BestB2 = 0 dayinit2 = day monthinit2 = month yearinit2 = year EndIf once ValueY = StartingValue2 once PIncPos2 = 1 //Positive Increment Position once NIncPos2 = 1 //Neative Increment Position once Optimize2 = 0 ////Initialize Heuristicks Engine Counter (Must be Incremented at Position Start or Exit) once Mode2 = 1 //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 Optimize2 = Reps2 Then WinCountA2 = 0 //Initialize current Win Count StratAvgA2 = 0 //Initialize current Avg Strategy Profit HeuristicsCycle = HeuristicsCycle + 1 For i2 = 1 to Reps2 Do If positionperf(i) > 0 Then WinCountA2 = WinCountA2 + 1 //Increment Current WinCount EndIf StratAvgA2 = StratAvgA2 + (((PositionPerf(i)*countofposition[i]*100000)*-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 Mode = 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 = ValueY + (Increment2*PIncPos2) PIncPos2 = PIncPos2 + 1 Mode = 1 ElsIf WinCountA2 < WinCountB2 and StratAvgA2 < StratAvgB2 and Mode2 = 2 Then ValueY = ValueY + (Increment2*PIncPos2) 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 = BestA Else If reps2 >= 10 Then WeightedScore2 = 10 Else WeightedScore2 = round((reps2/100)*100) EndIf ValueY = round(((BestA2*(20-WeightedScore2)) + (BestB2*WeightedScore2))/20) //Lower Reps = Less weight assigned to Win% EndIf NIncPos2 = 1 PIncPos2 = 1 ElsIf ValueY > MaxValue2 Then ValueY = MaxValue2 ElsIf ValueY < MinValue2 Then ValueY = MinValue2 EndIF Optimize2 = 0 EndIf // Heuristics Algorithm 2 End EndIf c1=average[valuex](close) c2=average[valuey](close) // condbuy =c1 crosses over c2 and rsi[14](close)<70 condsell=c1 crosses under c2 and rsi[14](close)>30 // if condbuy then buy at market endif if condsell then sellshort at market endif pp=positionperf(0)*100 if pp<-0.125 then sell at market exitshort at market endif set stop %loss 0.5 // exit sooner on performance criteria above set target %profit 0.25 graph valuex coloured(121,141,35,255) as "fastperiod1" graph valuey coloured(255,0,0,255) as "slowperiod"

  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

  defparam cumulateorders = false defparam preloadbars    = 10000 defparam flatbefore     = 080000 defparam flatafter      = 220000   period1=7 period2=14   HeuristicsCycleLimit = 2 If HeuristicsCycle >= HeuristicsCycleLimit  Then If HeuristicsAlgo1 = 1 Then HeuristicsAlgo2 = 1 HeuristicsAlgo1 = 0 ElsIf HeuristicsAlgo2 = 1 Then HeuristicsAlgo1 = 1 HeuristicsAlgo2 = 0 EndIf HeuristicsCycle = 0 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 optimize = optimize + 1 EndIf StartingValue = period1 ResetPeriod = 3 //Specify no of months after which to reset optimization Increment = 1 MaxIncrement = 7 //Limit of no of increments either up or down Reps = 3 //Number of trades to use for analysis   MinValue = 2 //Minimum allowed value MaxValue = 14 //Maximum allowed value   If monthinit = 1 or monthinit = 3 or monthinit = 5 or monthinit = 7 or monthinit = 8 or monthinit = 10 or monthinit = 12 Then MonthDays = 31 ElsIf monthinit = 4 or monthinit = 6 or monthinit = 9 or monthinit = 11 Then MonthDays = 30 ElsIf monthinit = 2 Then If (yearinit/4 = round(yearinit/4)) or (yearinit/400 = round(yearinit/400)) Then //haha not sure how exactly to do this MonthDays = 29 //leap year Else MonthDays = 28 EndIf EndIf   If (month = monthinit and day = dayinit + ResetPeriod) or (month = monthinit + 1 and (day + (MonthDays - dayinit)) >= ResetPeriod) Then ValueX = StartingValue WinCountB = 0 StratAvgB = 0 BestA = 0 BestB = 0 dayinit = day monthinit = month yearinit = year EndIf   once ValueX = StartingValue once PIncPos = 1 //Positive Increment Position once NIncPos = 1 //Neative Increment Position once Optimize = 0 ////Initialize Heuristicks Engine Counter (Must be Incremented at Position Start or Exit) once Mode = 1 //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 Optimize = Reps Then WinCountA = 0 //Initialize current Win Count StratAvgA = 0 //Initialize current Avg Strategy Profit 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]*100000)*-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 Mode = 0 ElsIf WinCountA < WinCountB and StratAvgA < StratAvgB and Mode = 1 Then ValueX = ValueX - (Increment*NIncPos) NIncPos = NIncPos + 1 Mode = 2 ElsIf WinCountA >= WinCountB or StratAvgA >= StratAvgB and Mode = 1 Then ValueX = ValueX + (Increment*PIncPos) PIncPos = PIncPos + 1 Mode = 1 ElsIf WinCountA < WinCountB and StratAvgA < StratAvgB and Mode = 2 Then ValueX = ValueX + (Increment*PIncPos) PIncPos = PIncPos + 1 Mode = 1 ElsIf WinCountA >= WinCountB or StratAvgA >= StratAvgB and Mode = 2 Then ValueX = ValueX - (Increment*NIncPos) NIncPos = NIncPos + 1 Mode = 2 EndIf If NIncPos > MaxIncrement or PIncPos > MaxIncrement Then If BestA = BestB Then ValueX = BestA Else If reps >= 10 Then WeightedScore = 10 Else WeightedScore = round((reps/100)*100) EndIf ValueX = round(((BestA*(20-WeightedScore)) + (BestB*WeightedScore))/20) //Lower Reps = Less weight assigned to Win% EndIf NIncPos = 1 PIncPos = 1 ElsIf ValueX > MaxValue Then ValueX = MaxValue ElsIf ValueX < MinValue Then ValueX = MinValue EndIF Optimize = 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 optimize2 = optimize2 + 1 EndIf StartingValue2 = period2 ResetPeriod2 = 3 //Specify no of months after which to reset optimization Increment2 = 1 MaxIncrement2 = 7 //Limit of no of increments either up or down Reps2 = 3 //Number of trades to use for analysis   MinValue2 = 15 //Minimum allowed value MaxValue2 = 28 //Maximum allowed value   If monthinit2 = 1 or monthinit2 = 3 or monthinit2 = 5 or monthinit2 = 7 or monthinit2 = 8 or monthinit2 = 10 or monthinit2 = 12 Then MonthDays2 = 31 ElsIf monthinit2 = 4 or monthinit2 = 6 or monthinit2 = 9 or monthinit2 = 11 Then MonthDays2 = 30 ElsIf monthinit2 = 2 Then If (yearinit2/4 = round(yearinit2/4)) or (yearinit2/400 = round(yearinit2/400)) Then //haha not sure how exactly to do this MonthDays2 = 29 //leap year Else MonthDays2 = 28 EndIf EndIf   If (month = monthinit2 and day = dayinit2 + ResetPeriod2) or (month = monthinit2 + 1 and (day + (MonthDays2 - dayinit2)) >= ResetPeriod2) Then ValueY = StartingValue2 WinCountB2 = 0 StratAvgB2 = 0 BestA2 = 0 BestB2 = 0 dayinit2 = day monthinit2 = month yearinit2 = year EndIf   once ValueY = StartingValue2 once PIncPos2 = 1 //Positive Increment Position once NIncPos2 = 1 //Neative Increment Position once Optimize2 = 0 ////Initialize Heuristicks Engine Counter (Must be Incremented at Position Start or Exit) once Mode2 = 1 //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 Optimize2 = Reps2 Then WinCountA2 = 0 //Initialize current Win Count StratAvgA2 = 0 //Initialize current Avg Strategy Profit HeuristicsCycle = HeuristicsCycle + 1 For i2 = 1 to Reps2 Do If positionperf(i) > 0 Then WinCountA2 = WinCountA2 + 1 //Increment Current WinCount EndIf StratAvgA2 = StratAvgA2 + (((PositionPerf(i)*countofposition[i]*100000)*-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 Mode = 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 = ValueY + (Increment2*PIncPos2) PIncPos2 = PIncPos2 + 1 Mode = 1 ElsIf WinCountA2 < WinCountB2 and StratAvgA2 < StratAvgB2 and Mode2 = 2 Then ValueY = ValueY + (Increment2*PIncPos2) 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 = BestA Else If reps2 >= 10 Then WeightedScore2 = 10 Else WeightedScore2 = round((reps2/100)*100) EndIf ValueY = round(((BestA2*(20-WeightedScore2)) + (BestB2*WeightedScore2))/20) //Lower Reps = Less weight assigned to Win% EndIf NIncPos2 = 1 PIncPos2 = 1 ElsIf ValueY > MaxValue2 Then ValueY = MaxValue2 ElsIf ValueY < MinValue2 Then ValueY = MinValue2 EndIF Optimize2 = 0 EndIf // Heuristics Algorithm 2 End   EndIf   c1=average[valuex](close) c2=average[valuey](close)   // condbuy =c1 crosses over c2 and rsi[14](close)<70 condsell=c1 crosses under c2 and rsi[14](close)>30   // if condbuy then buy at market endif if condsell then sellshort at market endif   pp=positionperf(0)*100   if pp<-0.125 then sell at market exitshort at market endif   set stop %loss 0.5 // exit sooner on performance criteria above set target %profit 0.25   graph valuex coloured(121,141,35,255) as "fastperiod1" graph valuey coloured(255,0,0,255) as "slowperiod"

   

  

  Paul

  Participant

  Topics: 40

  Replies: 812

  Been thanked: 660 times
• Author
  Posts