Test input conditions in the optimizer

• 08/24/2021 at 8:10 PM #176132
  phoentzs

  Hello, if I want to check different input conditions with the optimization of other conditions at the same time in the optimizer, how can I do that? Is that possible? I have pre-defined different conditions and am currently always optimizing my strategies with each condition individually. Which of course costs a lot of time. So, as an example, do I want to optimize SL, TP or other conditions at the same time with cond1 or cond2 or cond3 … to find out which cond is currently the best … how can I code that so that it can be used in the optimizer?

  

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  08/24/2021 at 8:33 PM #176134
  nonetheless

  You can run any number of variables in the optimizer up to a max number of permutations. You just have to insert a variable in your condition for the value you want to test (eg. the period of a moving average). Then you can run it along with any other variables (stop, target, trail etc) all at once.

  I often set it up with 2-3000 permutations and leave it to run overnight.

  

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  08/24/2021 at 8:44 PM #176135
  phoentzs

  Yes … misunderstanding. Explained differently, as an example: cond1 = engulfing, cond2 = lowerhigh and cond3 = Close <EMA200 … how can I automatically compare these with one another in the optimizer and optimize my numerical values? Does that work? The examples are just examples.

  

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  08/24/2021 at 9:08 PM #176138
  GraHal

  Does below help …

  https://www.prorealtime.com/en/videos_tutorial/142_trading_system_backtest_optimization

  

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  08/24/2021 at 9:45 PM #176141
  nonetheless

  phoentzs wrote:

  compare these with one another

  you mean to ascertain which is most effective? you can’t do that in the optimizer, only the operative values.

  to compare them you would have to enter (or omit) them one by one to see which had the best effect.

  

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  08/24/2021 at 10:02 PM #176145
  phoentzs

  So the way I’ve been doing it so far. I was hoping there would be an ingenious coding trick for it.

  

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  08/24/2021 at 10:06 PM #176146
  nonetheless

  not that I know of!

  

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  08/25/2021 at 6:49 AM #176149
  Swingueur

  Hello,

  To compare different conditions in a strategy, I personally use an int optimization variable, like “strategy”, in ProBacktest module.

   

  Example

  if strategy=1 then entry=engulfing elsif strategy=2 then entry=breakout etc... endif

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  if strategy=1 then    entry=engulfing elsif strategy=2 then    entry=breakout etc... endif

  This can be used in combination of other optimization variables, under the limit of combinations of course
  Is this what you want to implement?
  Fabrice

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  08/25/2021 at 9:12 AM #176160
  phoentzs

  And then enter the various strategies as conditions as numbers in the optimizer? So in the way I thought it was possible.

  

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  08/25/2021 at 9:35 AM #176164
  Swingueur

  Yes, “strategy” can be a variable that varies between 1 and X with increment of 1, to test different sub-strategies: entries, SL, TP (1 SL distance vs. 1.5 or 2), BE or not. etc…

  And then we use this variable in different locations in the code when needed to make some comparison and test alternative signals.

  Only thing is to note somewhere what are the meaning of the sub-strategies so that we can quickly retrieve which condition is best when the table of results is generated, and it shows that strategy=5 has better gains than strategy=9 for instance.

  

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  08/25/2021 at 9:41 AM #176165
  phoentzs

  That’s exactly how it sounds logical. So far I haven’t got it right. Maybe Roberto or Nicolas can help?

  

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  08/25/2021 at 10:09 AM #176166
  robertogozzi

  What exactly do you want to achieve phoentzs?

   

  

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  08/25/2021 at 10:11 AM #176167
  nonetheless

  Swingueur wrote:

  To compare different conditions in a strategy, I personally use an int optimization variable, like “strategy”

  it’s an interesting way of doing things, but do you find that it actually saves time? the optimizer is still just running them separately, one at a time, as you would do manually. Not so much optimizing as automating part of the test process … but you still have to write all the code and run each one. not sure if it will get you ahead of the game. Perhaps if you add the operative variables as well and ran it overnight – could be worth trying.

  

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  08/25/2021 at 10:22 AM #176178
  phoentzs

  @robertogozzi As described above. If I want to compare operational conditions in the optimizer with numerical values ​​such as SL, TP or breakeven at the same time, how can I write the conditions so that they can be processed in the optimizer? As a simple example … we have a breakout strategy and want to compare what works best: cond1 = engulfing, cond2 = higherhigh, cond3 = lowerlow and so on … what works best should be the result.

  

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  08/25/2021 at 11:44 AM #176189
  Swingueur

  nonetheless wrote:

  Swingueur wrote:

  To compare different conditions in a strategy, I personally use an int optimization variable, like “strategy”

  it’s an interesting way of doing things, but do you find that it actually saves time? the optimizer is still just running them separately, one at a time, as you would do manually. Not so much optimizing as automating part of the test process … but you still have to write all the code and run each one. not sure if it will get you ahead of the game. Perhaps if you add the operative variables as well and ran it overnight – could be worth trying.

  It may not save time for sure. I am not into running backtests overnight yet, so I don’t face such challenges.

  The main idea is to manage several alternative conditions in the same file, instead of creating several trading systems. In the end, you can reuse the conditions as a template to create other trading systems quickly, based on other indicators. It’s more an organization efficiency than pure strategy optimization.

  @phoentzs if we take some examples in your library, it could be something like this.

  https://www.prorealcode.com/prorealtime-trading-strategies/dax-m15-long-wave-diver-with-grid-and-mtf/

  Example of alternative

  .... c4 = (indicator5 CROSSES OVER indicator6) IF strategy = 2 THEN c4 = (indicator5 CROSSES UNDER indicator6) ENDIF IF c4 THEN SELL AT MARKET ENDIF .... lossValue = 75 IF strategy = 3 THEN lossValue = 150 ENDIF // Stops und Targets SET STOP pLOSS lossValue

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  .... c4 = (indicator5 CROSSES OVER indicator6) IF strategy = 2 THEN    c4 = (indicator5 CROSSES UNDER indicator6) ENDIF IF c4 THEN SELL AT MARKET ENDIF   .... lossValue = 75 IF strategy = 3 THEN    lossValue = 150 ENDIF // Stops und Targets SET STOP pLOSS lossValue

  It’s basic IF ELSE statements.

   

   

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