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Finding The Most Robust Parameters Using Optimization

  • #61
  • Aug 11, 2022 1:58pm Aug 11, 2022 1:58pm
Hello, if anyone can answer this question:

in mt5, when back testing 2 years of data(as an example), can MT5 back tester separate 24 months of stats into stats per each of the months?
  • #62
  • Jan 5, 2024 2:48pm Jan 5, 2024 2:48pm
Quoting yoriz
Based on your excellent suggestions, I took the effort to wrap my EA in a bigger EA that implements built-in backtest capabilities. The EA will now internally backtest itself with all possible input parameters over the last few weeks and compile a portfolio of the best parameters and trade them all simultaneously. After a few days it repeats this. While trading it adds up all the strategies in the portfolio with equal weights to determine what the net position should be. I don't have a netting account, so I wrote a backend that maintains a net position...
Hello Yoriz, this threat was really interesting for me. This approach opened my eyes regarding the period of optimization. Is there some examples that you suggest for implementing a built-in optimization in a EA? I found some information's on the metaquotes page like the article nr. 4917. I'm searching for examples to understand the code, I'm not a pro programmer
Thanks in advance
  • #63
  • Edited 3:15pm Jan 9, 2024 2:04pm | Edited 3:15pm
Quoting ItsArns
this threat was really interesting for me. This approach opened my eyes regarding the period of optimization.
Glad to hear this was useful to you!

Quoting ItsArns
Is there some examples that you suggest for implementing a built-in optimization in a EA? I found some information's on the metaquotes page like the article nr. 4917. I'm searching for examples to understand the code, I'm not a pro programmer Thanks in advance
Unfortunately this is not an easy job. You will need to create many instances of a Class that implements your strategy, each with different parameters. Then you will need to internally simulate virtual trades and keep track of their performance in a moving/rolling window to enable you to filter the strategies on their recent past performance.

For the few selected strategies you not only need to simulate the trades virtually, but you also need to make actual real trades. However, if your selection comprises hundreds of strategies, your platform probably won't let you create enough real trades (plus you pay an unnessary amount of commission and spread for those trades that hedge eachother). You will have to implement "netting" behavior: add up the desired position of all selected strategies, compare with your current net position and work out if you need to close some of the currently open positions or need to add more.

I obviously don't know your programming skills, but you mention you are not a professional. I fear this might be a bit too complex if you only program casually as a hobby.
  • #64
  • Last Post: Jan 11, 2024 4:32pm Jan 11, 2024 4:32pm
thank you for your useful explanation. For sure that is not easy to code and it is a very complex process. I'll try to implement a basic procedure to calibrate my strategies even if there are some manual steps to do.
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