Optimize non asset/algo specific

Posted By: StefanCGN

Optimize non asset/algo specific - 11/11/19 08:07

Hi, I am trying to use optimize for parameters independently from assets / algos. The manual says that I have to enumerate assets in a for loop and call optimize outside loop. All my tries do not work... Individual optimization is done. WHY?

function run()

{

set(PARAMETERS+FACTORS);

AssetList = "AssetsOandaEUR100extended.csv";

BarPeriod = 60; // 1 hour bars

LookBack = 1800;

NumYears = 10;

NumWFOCycles = 10;

Hedge = 2;

Weekend = 2;

StartWeek = 10400; // start Monday 4 am

EndWeek = 51900; // end Friday 7 pm

if(Train) {

Detrend = PRICES;

NumSampleCycles = 4; }

int i;

for(i=0; Assets[i]; i++)

{ asset(Assets[i]); }

asset("EUR/USD");

algo("MOMENT_FX");

var Threshold = optimize(1,0.25,3,0.25);

int r = optimize(20,1,20,2);

Posted By: jcl

Re: Optimize non asset/algo specific - 11/11/19 11:51

That's no individual optimization. In fact it's no optimization at all.

For getting help with coding, please post the same script that you had a problem with, and please use code formatting so that it is readable.

Posted By: StefanCGN

Re: Optimize non asset/algo specific - 11/11/19 12:11

In fact it is an adaption of your currency strength skript. If I start to train this, it is still going through all assets to optimize:

Code

 
int TrailingStop(var range )

{

  if(TradeIsLong and TradeIsOpen and TradeProfit > 0)

    TradeStopLimit = max(TradeStopLimit,LL(range));

  else if(TradeIsShort and TradeIsOpen and TradeProfit > 0)      

           TradeStopLimit = min(TradeStopLimit,HH(range));

return 0;

}

 

function run()

{

 

          set(PARAMETERS+FACTORS); 

          AssetList = "AssetsOandaEUR100extended.csv";

          BarPeriod = 60;        // 1 hour bars

          LookBack = 1800;    

          NumYears = 10;

          NumWFOCycles = 10;

          Hedge = 2;

          Weekend = 2;

          StartWeek = 10400; // start Monday 4 am

          EndWeek = 51900; // end Friday 7 pm

          if(Train) {

          Detrend = PRICES;

          NumSampleCycles = 4; }

         

 

          Capital = slider(1,4000,0,7000,"Capital","initial captial");

         

          Margin = 0.5 * OptimalF * Capital;

         

         

          int i=0;

 

          for(i=0; Assets[i]; i++)

          {asset(Assets[i]);

          i++;}

         

          var Threshold = optimize(1,0.25,3,0.25);

          int r = optimize(20,1,20,2);

         

 

  

          ccyReset();

  string Name;

  while(Name = (loop(Assets)))

  {

    if(assetType(Name) != FOREX)

      continue; // Currency pairs only

    asset(Name);

    vars Prices = series(priceClose());

    ccySet(ROC(Prices,1)); // store price change as strength

  }

 

  

  

// get currency pairs with highest and lowest strength difference

          string Best = ccyMax(), Worst = ccyMin();

   asset(Best);

   vars Prices_b = series(priceClose());

          vars roc_b = series(ROC(Prices_b,1));

          vars zscore_b = series(zscore(roc_b[0],1800));

          asset(Worst);

          vars Prices_w = series(priceClose());

          vars roc_w = series(ROC(Prices_w,1));

          vars zscore_w = series(zscore(roc_w[0],1800));

 

                   

          static char OldBest[8], OldWorst[8]; // static for keeping contents between runs

  if(*OldBest && !strstr(Best,OldBest)) { // new strongest asset?

    asset(OldBest);

    exitLong();

    if(zscore_b[0] > Threshold) {

      asset(Best);

                    Stop = 2*ATR(20);

      enterLong(TrailingStop,r);

    }

  }

  if(*OldWorst && !strstr(Worst,OldWorst)) { // new weakest asset?

    asset(OldWorst);

    exitShort();

    if(zscore_w[0] < -Threshold) {

      asset(Worst);

                    Stop = 2*ATR(20);

      enterShort(TrailingStop,r);

    }

  }

 

// store previous strongest and weakest asset names 

  strcpy(OldBest,Best);

  strcpy(OldWorst,Worst);


}

Posted By: AndrewAMD

Re: Optimize non asset/algo specific - 11/11/19 14:11

First of all, you should write [/code] instead of [code/] at the end of your code block.

Second, if your intent was to optimize each individual asset, you are certainly not doing that. You must put your optimize() call inside of your asset loop(). To be explicitly clear, your while loop must be using the loop() call, and the optimize() call must be in that same exact while loop.

Posted By: StefanCGN

Re: Optimize non asset/algo specific - 11/11/19 14:15

Thanks, but I want explicitly the opposite: Parameters should be in depended from algo/asset. That's why I placed the calls outside.... But the optimizer still goes through the components....

Posted By: AndrewAMD

Re: Optimize non asset/algo specific - 11/11/19 14:51

Then don't use loop().

Instead of while(loop()), use for(listed_assets){asset(Asset); /* etc */}. But keep your optimize() calls outside of the for loop.

Posted By: StefanCGN

Re: Optimize non asset/algo specific - 11/11/19 15:32

Thanks a lot. That helped!!! :-)