Machine Learning in ProOrder ProRealTime

• 03/06/2020 at 9:15 PM #121413
  fifi743

  defparam cumulateorders = false defparam preloadbars = 10000 //defparam flatbefore = 080000 //defparam flatafter = 220000 once period1=7 once period2=14 once ValueX =period1 once Valuey =period2 ONCE ResetPeriod = 25 HeuristicsCycleLimit = 2 // ONCE HeuristicsCycle=1 If HeuristicsCycle >= HeuristicsCycleLimit Then If HeuristicsAlgo1 = 1 Then HeuristicsAlgo2 = 0 HeuristicsAlgo1 = 1 ElsIf HeuristicsAlgo2 = 1 Then HeuristicsAlgo1 = 0 HeuristicsAlgo2 = 1 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 //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 OPTIMIZE graph ValueX coloured(121,141,35,255) as "fastperiod1" graph ValueY coloured(255,0,0,255) as "slowperiod" GRAPH dayinit + ResetPeriod GRAPH ResetPeriod GRAPH monthinit graph dayinit

  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 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156 157 158 159 160 161 162 163 164 165 166 167 168 169 170 171 172 173 174 175 176 177 178 179 180 181 182 183 184 185 186 187 188 189 190 191 192 193 194 195 196 197 198 199 200 201 202 203 204 205 206 207 208 209 210 211 212 213 214 215 216 217 218 219 220 221 222 223 224 225 226 227 228 229 230 231 232 233 234 235 236 237 238 239 240 241 242 243 244 245 246 247 248 249 250 251 252 253 254 255 256 257 258 259 260 261 262 263 264 265 266 267 268 269 270 271 272 273 274 275 276 277 278 279 280 281 282 283 284 285 286 287 288 289 290 291 292 293 294 295 296 297 298 299 300 301 302 303

  defparam cumulateorders = false defparam preloadbars    = 10000 //defparam flatbefore     = 080000 //defparam flatafter      = 220000   once period1=7 once period2=14 once ValueX =period1 once Valuey =period2 ONCE ResetPeriod = 25 HeuristicsCycleLimit = 2 // ONCE HeuristicsCycle=1 If HeuristicsCycle >= HeuristicsCycleLimit  Then If HeuristicsAlgo1 = 1 Then HeuristicsAlgo2 = 0 HeuristicsAlgo1 = 1 ElsIf HeuristicsAlgo2 = 1 Then HeuristicsAlgo1 = 0 HeuristicsAlgo2 = 1 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 //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 OPTIMIZE graph ValueX coloured(121,141,35,255) as "fastperiod1" graph ValueY coloured(255,0,0,255) as "slowperiod" GRAPH dayinit + ResetPeriod GRAPH ResetPeriod GRAPH monthinit graph dayinit

  Good evening,
  Unable to initialize variables
  Monthinit
  Dayinit
  removing some of the code works.

  1 user thanked author for this post.

  Paul

  

  fifi743

  Participant

  Topics: 10

  Replies: 902

  Been thanked: 418 times
  03/06/2020 at 10:12 PM #121416
  fifi743

  SHOULD we initialize it is variable?

  if not onmarket then dayinit = day monthinit = month yearinit = year endif

  1 2 3 4 5

  if not onmarket then dayinit = day monthinit = month yearinit = year endif

   

  

  fifi743

  Participant

  Topics: 10

  Replies: 902

  Been thanked: 418 times
  03/06/2020 at 10:17 PM #121417
  fifi743

  Valuex :
  MOVE

  

  fifi743

  Participant

  Topics: 10

  Replies: 902

  Been thanked: 418 times
  03/06/2020 at 10:30 PM #121420
  fifi743

  add

  ONCE valuey=5 once HeuristicsAlgo1 = 1

  1 2	ONCE valuey=5 once HeuristicsAlgo1 = 1

   

  1 user thanked author for this post.

  Bard

  

  fifi743

  Participant

  Topics: 10

  Replies: 902

  Been thanked: 418 times
  03/06/2020 at 10:43 PM #121422
  GraHal

  @fifi743 … got ValueY working so my (now deleted) comment is no longer needed.

  

  GraHal

  Participant

  Topics: 211

  Replies: 8760

  Been thanked: 2176 times
  03/07/2020 at 11:48 AM #121432
  GraHal

  juanj wrote:

  only a single increment is made either up or down

  Is the 1 x increment of the value set as increment?

  So if I set increment = 2 then in any one bar, ValueX or Value Y should not change by more than ‘2’ (up or down)?

  

  GraHal

  Participant

  Topics: 211

  Replies: 8760

  Been thanked: 2176 times
  03/07/2020 at 1:06 PM #121435
  juanj

  GraHal wrote:

  juanj wrote:

  only a single increment is made either up or down

  Is the 1 x increment of the value set as increment?

  So if I set increment = 2 then in any one bar, ValueX or Value Y should not change by more than ‘2’ (up or down)?

  Correct, unless the increment limit value has been reached, after which ValueX will revert to the new Average best performing value

  2 users thanked author for this post.

  Paul, GraHal

  

  juanj

  Participant

  Topics: 51

  Replies: 505

  Been thanked: 170 times
  03/07/2020 at 1:59 PM #121436
  fifi743

  for test :
  Depending on the month it changes from HeuristicsAlgo1 to HeuristicsAlgo2
  I moved valuey to line 40

  defparam cumulateorders = false defparam preloadbars = 10000 //defparam flatbefore = 080000 //defparam flatafter = 220000 period1=7 period2=14 if not onmarket then dayinit = day monthinit = month yearinit = year endif HeuristicsCycleLimit = 2 IF monthinit mod 2 = 1 then HeuristicsAlgo1 = 1 elsif monthinit mod 2 =0 then HeuristicsAlgo2 = 1 endif 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 valuey= PERIOD2 ResetPeriod = 3//Specify no of months after which to reset optimization Increment = 1 MaxIncrement = 3//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 = 1 ////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 = 0 //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 = 0 GRAPH BestA coloured (0,0,0) AS "BestA" If StratAvgA >= StratAvgB Then StratAvgB = StratAvgA //Update Best Strategy Profit BestA = ValueX EndIf once BestB = 0 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 valuex=period1 ResetPeriod2 = 3//Specify no of months after which to reset optimization Increment2 = 1 MaxIncrement2 = 5//Limit of no of increments either up or down Reps2 = 3 //Number of trades to use for analysis MinValue2 = 15 //Minimum allowed value MaxValue2 = 30 //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 = 1 ////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 = 0 //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 = 0 GRAPH BestA2 coloured (0,0,0) AS "BestA2" If StratAvgA2 >= StratAvgB2 Then StratAvgB2 = StratAvgA2 //Update Best Strategy Profit BestA2 = ValueY EndIf once BestB2 = 0 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 pp=positionperf(0)*100 IF pp<-0.02 and HeuristicsAlgo2 and longonmarket then HeuristicsAlgo1=1 SELL AT MARKET elsif pp<-0.05 and HeuristicsAlgo1 and shortonmarket then HeuristicsAlgo2=1 EXITSHORT AT MARKET endif c1=average[valuex](close) c2=average[valuey](close) // condbuy =c1 crosses over c2 and rsi[14](close)<50 condsell=c1 crosses under c2 and rsi[14](close)>40 // if condbuy then buy at market endif if condsell then sellshort at market endif // //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 3 graph pp 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 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156 157 158 159 160 161 162 163 164 165 166 167 168 169 170 171 172 173 174 175 176 177 178 179 180 181 182 183 184 185 186 187 188 189 190 191 192 193 194 195 196 197 198 199 200 201 202 203 204 205 206 207 208 209 210 211 212 213 214 215 216 217 218 219 220 221 222 223 224 225 226 227 228 229 230 231 232 233 234 235 236 237 238 239 240 241 242 243 244 245 246 247 248 249 250 251 252 253 254 255 256 257 258 259 260 261 262 263 264 265 266 267 268 269 270 271 272 273 274 275 276 277 278 279 280 281 282 283 284 285 286 287 288 289 290 291 292 293 294 295 296 297 298 299 300 301 302 303 304 305 306 307 308 309 310 311 312

  defparam cumulateorders = false defparam preloadbars    = 10000 //defparam flatbefore     = 080000 //defparam flatafter      = 220000   period1=7 period2=14 if not onmarket then dayinit = day monthinit = month yearinit = year   endif HeuristicsCycleLimit = 2 IF monthinit mod 2 = 1 then HeuristicsAlgo1 = 1 elsif monthinit mod 2 =0 then HeuristicsAlgo2 = 1 endif 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 valuey= PERIOD2 ResetPeriod = 3//Specify no of months after which to reset optimization Increment = 1 MaxIncrement = 3//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 = 1 ////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 = 0 //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 = 0 GRAPH BestA coloured (0,0,0) AS "BestA" If StratAvgA >= StratAvgB Then StratAvgB = StratAvgA //Update Best Strategy Profit BestA = ValueX EndIf once BestB = 0 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 valuex=period1 ResetPeriod2 = 3//Specify no of months after which to reset optimization Increment2 = 1 MaxIncrement2 = 5//Limit of no of increments either up or down Reps2 = 3 //Number of trades to use for analysis   MinValue2 = 15 //Minimum allowed value MaxValue2 = 30 //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 = 1 ////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 = 0 //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 = 0 GRAPH BestA2 coloured (0,0,0) AS "BestA2" If StratAvgA2 >= StratAvgB2 Then StratAvgB2 = StratAvgA2 //Update Best Strategy Profit BestA2 = ValueY EndIf once BestB2 = 0 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 pp=positionperf(0)*100 IF pp<-0.02 and HeuristicsAlgo2 and longonmarket then HeuristicsAlgo1=1 SELL AT MARKET elsif pp<-0.05  and HeuristicsAlgo1 and shortonmarket then HeuristicsAlgo2=1 EXITSHORT AT MARKET endif c1=average[valuex](close) c2=average[valuey](close)   // condbuy =c1 crosses over c2  and rsi[14](close)<50 condsell=c1 crosses under c2 and rsi[14](close)>40   // if condbuy then buy at market endif if condsell then sellshort at market endif //     //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 3 graph pp graph valuex coloured(121,141,35,255) as "fastperiod1" graph valuey coloured(255,0,0,255) as "slowperiod"

   

  1 user thanked author for this post.

  Paul

  

  fifi743

  Participant

  Topics: 10

  Replies: 902

  Been thanked: 418 times
  03/07/2020 at 4:48 PM #121443
  Vonasi

  I just had a little play with the first code that Juanj posted and I noticed that I could sometimes get the ‘Periods’ variable to go negative. You might want to add a minimum value allowed to prevent this as it could cause a strategy to be stopped.

  

  Vonasi

  Moderator

  Topics: 192

  Replies: 5088

  Been thanked: 1811 times
  03/08/2020 at 12:56 PM #121480
  juanj

  @Vonasi, if you consider the latest version of the algorithm (not the one from a few years back), there is a minimum value and as long as MinValue is specified as a positive value a negative value shouldn’t occur

  

  juanj

  Participant

  Topics: 51

  Replies: 505

  Been thanked: 170 times
  03/09/2020 at 11:32 AM #121546
  GraHal

  Attached results using Paul’s System.

  • Top Curve WITHOUT Heuristics (code is bare System / Paul’s original code only).
  • Bottom Curve WITH Heuristics.

  Bottom Curve … Heuristic Algo1 and Algo2 are both working at the same time.

  I found that it is not a case of adding Heuristics on top of a best effort bare code.

  I am going to start my version on Forward Test now to establish that my version is not just a massive curve fit of the Heuristics!? 🙂

  I am posting my results as encouragement / to show that JuanJ code does work.

  Maybe you can get JuanJ code to work with even better results on Paul’s System than attached?

  3 users thanked author for this post.

  Jan, Paul, fifi743

  

  GraHal

  Participant

  Topics: 211

  Replies: 8760

  Been thanked: 2176 times
  03/10/2020 at 3:07 PM #121716
  Jan

  Hi Juan,

  I try to understand the concepts of what you are trying to obtain with this machine learning, could you explain this ?

  Normally you develop a strategy with fixed settings (eg like a Macd crossing strategy) based upon past data, and assuming the future movements of price are relatively similar, and you let run your trading-algo.

  With this machine learning concept, are you trying to further optimize the following of past changes in price movements, then with those optimized findings approaching the future price movements with the new strategy ?

  Or when running a algo-strategy, with this machine learning concept, it adjust the setting of the variables automatically given the structure of price movements ?

  (I hope my question is clear,  in this case it would be great to discuss this kind of topics face to face in a meeting with others, to avoid misunderstandings)

  

  Jan

  Participant

  Topics: 10

  Replies: 90

  Been thanked: 29 times
  03/11/2020 at 2:06 PM #121819
  Jan

  Hi Grahal or others,

  Could you be so kind to spend a few words to explain the concepts of the “Heuristics” ?   Is it daily optimising of a fixed setting, and yes, what is the base of the adjustment, how many bars backwards ?

  I am sorry, but I missed that out of lots of interesting code.

  Thanks in advance for your help !

  Your comment “Attached results using Paul’s System.

  • Top Curve WITHOUT Heuristics (code is bare System / Paul’s original code only).
  • Bottom Curve WITH Heuristics. “

  

  Jan

  Participant

  Topics: 10

  Replies: 90

  Been thanked: 29 times
  03/12/2020 at 10:09 AM #121909
  GraHal

  Jan wrote:

  when running a algo-strategy, with this machine learning concept, it adjust the setting of the variables automatically given the structure of price movements ?

  It is above. (I am commenting as JuanJ is probably busy trading or mentoring etc)

  I have found though that the starting value for ValueX is important to get good results.

  Also a few other variables in the Heuristics are important re initialisation value. This is understandable else the Heuristics would be the panacea for all!? 🙂

  

  GraHal

  Participant

  Topics: 211

  Replies: 8760

  Been thanked: 2176 times
  03/12/2020 at 10:26 AM #121910
  GraHal

  Jan wrote:

  how many bars backwards ?

  This is a setting in the Heuristics Algo (Halgo), but it is set by number of Trades backwards.

  So to use an example … the results of the last 3 Trades Trades 1, 2 and 3 are used to vary the Halgo variables in order to produce an optimum ValueX to go forward with for the next Trade (4).

  Then it is my understanding that … Trade4 would be used together with Trade3 and Trade 2 to repeat above.

  I will try and decide … from the code … if it is above or is it … the Halgo variables are next optimised after Trade 6 using Trade 4, 5 and 6??

  
  @Jan you are far better at coding than I so maybe you can read JuanJ code and decide??

  Whoever finds out first, post on here, unless JuanJ passes by and tells us first?

   

  

  GraHal

  Participant

  Topics: 211

  Replies: 8760

  Been thanked: 2176 times
• Author
  Posts