Posted By: laz
optimize and PARAMETERS|RULES - in asset() & algo - 01/26/19 14:08
Hi, guys...
I want to do the following:
I want to see which TP/SL the model can train better - with a custom Objective depending on the TP/SL.
Combining rules and parameters - https://zorro-project.com/manual/en/training.htm
case 1 - "Parameters depend on rules" <- wrong here
case 2 - "Rules depend on Parameters" <- true here
case 3 - "Rules and parameters affect each other." <- true here
For every parameter step a new set of rules needs to be generated.
BUT 2 PROBLEMS:
1.) problem:
I need the optimized value here. In this case the parameter affects rule generation
and has no further relevance for the script. So i can't use case 1 & 2.
2.) problem:
the manual still says:
Here i found an old post (2014), telling us that Zorro will support that in the future...
https://opserver.de/ubb7/ubbthreads.php?ubb=showflat&Number=441154#Post441154
So i can't use any of this methods ?
Or is it possible meanwhile?
What is the best way?
I want to do the following:
Code:
while(asset(loop(ASSETS))) while(algo(loop(ALGOS))) { TakeProfit = optimize(1,1,4,1) * ATR(100); Stop = TakeProfit / 2.0; advise()... }
I want to see which TP/SL the model can train better - with a custom Objective depending on the TP/SL.
Combining rules and parameters - https://zorro-project.com/manual/en/training.htm
case 1 - "Parameters depend on rules" <- wrong here
case 2 - "Rules depend on Parameters" <- true here
case 3 - "Rules and parameters affect each other." <- true here
For every parameter step a new set of rules needs to be generated.
BUT 2 PROBLEMS:
1.) problem:
Code:
case 2 - "Rules depend on Parameters" if(is(TRAINMODE)) set(RULES|PARAMETERS); else set(RULES);
Quote:
[...]In [Test] and [Trade] mode set the RULES flag only, not PARAMETERS, as the parameter only affects rule generation and has no further relevance for the script.
I need the optimized value here. In this case the parameter affects rule generation
and has no further relevance for the script. So i can't use case 1 & 2.
2.) problem:
Code:
solution 3 - Rules and parameters affect each other set(RULES|PARAMETERS);
the manual still says:
Quote:
Training rules and parameters at the same time only works with single assets, not with a portfolio system that contains loops with asset or algo calls.
Here i found an old post (2014), telling us that Zorro will support that in the future...
https://opserver.de/ubb7/ubbthreads.php?ubb=showflat&Number=441154#Post441154
Quote:
But a future Zorro version will support this with portfolio systems also.
So i can't use any of this methods ?
Or is it possible meanwhile?
What is the best way?