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);
Last edited by StefanCGN; 11/11/19 11:04.