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asset loop + set(PARAMETERS+RULES) --> Error 042 #441103
05/13/14 02:15
05/13/14 02:15
Joined: Sep 2013
Posts: 504
California
G
GPEngine Offline OP
User
GPEngine  Offline OP
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G

Joined: Sep 2013
Posts: 504
California
The manual says
Quote:
If the parameters affect the rules, set the RULES and PARAMETERS modes at the same time. Every optimization cycle then will first generate the rules, then in a second run determine the performance and use it for finding the best parameter value. After the optimal parameters are found, another cycle is run for generating the final rules with the optimal parameter set.

but Zorro doesn't seem to do that. Train on the following script leads to
Code:
Error 042: CHF/JPY: parameters not found!,

Can you please explain why?
Code:
string selected_asset;

function run() {
  if (is(INITRUN)) {
    BarPeriod = 348;
    LookBack = 501;
    StartDate = 20131020;
    EndDate = 20140420;
    set(RULES);
    set(PARAMETERS);
    if (Train) {
      Hedge = 2;
      Detrend = 1;
    } else {
      set(NFA);
      Hedge = 4;
      Detrend = 0;
    }
    TradesPerBar = 2;
    Weekend = 1;
    EntryTime = 1;
    ExitTime = 24 * 60 / BarPeriod;
    NumOptCycles = 2;
    NumSampleCycles = 2;
    NumWFOCycles = 22;
    Confidence = 75;
  }

  while(selected_asset = loop("CAD/JPY", "CHF/JPY")) {
    asset(selected_asset);

    var atrx = ATR(238);
    TakeProfit = 3 * atrx;
    Stop = 2 * atrx;
    vars Price = series(price());
    var p00 = optimize(174, 87, 348, -100);
    var v00 = StdDev(Price, p00);

    if (adviseLong(PERCEPTRON, 0, v00) > 0) {
      enterLong();
    }

    if (adviseShort(PERCEPTRON, 0, v00) > 0) {
      enterShort();
    }
  }
}


Re: asset loop + set(PARAMETERS+RULES) --> Error 042 [Re: GPEngine] #441126
05/13/14 13:24
05/13/14 13:24
Joined: Jul 2000
Posts: 27,986
Frankfurt
jcl Offline

Chief Engineer
jcl  Offline

Chief Engineer

Joined: Jul 2000
Posts: 27,986
Frankfurt
I believe training RULES and PARAMETERS at the same time works only with a single asset, not with a portfolio. But I can't see this in the manual, so I'll inquire to be sure.

Re: asset loop + set(PARAMETERS+RULES) --> Error 042 [Re: jcl] #441151
05/14/14 02:07
05/14/14 02:07
Joined: Sep 2013
Posts: 504
California
G
GPEngine Offline OP
User
GPEngine  Offline OP
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G

Joined: Sep 2013
Posts: 504
California
Thanks. I can't believe I'm the first to try this....

Re: asset loop + set(PARAMETERS+RULES) --> Error 042 [Re: GPEngine] #441154
05/14/14 07:56
05/14/14 07:56
Joined: Jul 2000
Posts: 27,986
Frankfurt
jcl Offline

Chief Engineer
jcl  Offline

Chief Engineer

Joined: Jul 2000
Posts: 27,986
Frankfurt
I got confirmation that this indeed works with single components only. And you're maybe indeed the first one, at least I have never tried this with multiple assets. But a future Zorro version will support this with portfolio systems also.

Re: asset loop + set(PARAMETERS+RULES) --> Error 042 [Re: jcl] #441166
05/14/14 14:57
05/14/14 14:57
Joined: Sep 2013
Posts: 504
California
G
GPEngine Offline OP
User
GPEngine  Offline OP
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G

Joined: Sep 2013
Posts: 504
California
Thanks


Moderated by  Petra 

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