Hi, guys...

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 confused ?

Or is it possible meanwhile?

What is the best way?

Last edited by laz; 01/28/19 01:24.