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Old Dog with New Tricks

  • #361
  • Jul 19, 2010 12:21am Jul 19, 2010 12:21am
Quoting Zurathustra
OK, so after reading and re-reading how to get this EA working, I "believe" I have everything set up correctly. So after dropping it on a chart I've been waiting now for several hours for it to finish optimizing, but nothing has changed since I started it except the cycle count. This is what the EA is showing me.

Attachment

All settings are default except for lots, I changed it from 0.1 to 0.01.

So should I keep waiting? Reset and try again?

You can only optimize by one parameter at a time. You also may have set a parameter like success score too high. I find it easiest to use WinRate. You need to find a sweet spot with the setting that will give you a TP, risk ratio, and win parentage that you are comfortable with.
  • #362
  • Edited 2:19am Jul 19, 2010 12:51am | Edited 2:19am
Quoting rfking2
You can only optimize by one parameter at a time. You also may have set a parameter like success score too high. I find it easiest to use WinRate. You need to find a sweet spot with the setting that will give you a TP, risk ratio, and win parentage that you are comfortable with.
So I follow your advice and tried again changing the optimization from success score to win rate and sure enough it appears to be "working".

Funny it didn't work when being optimized for success score and a minimum success score of 0 setting.

Something else that strikes me as odd, I'm currently showing a win rate of 50%, RR of 16.56, and a success score of 828, which if those numbers are to be believed are amazing.. guess I'll let it run for a week and see what shakes out.

Attached Image


Also my TP is showing 414 in that screenshot but has since become 720. Does the EA auto set TP levels? If so was there any reason to put a TP SL setting in the EA?
  • #363
  • Jul 19, 2010 8:58am Jul 19, 2010 8:58am
If setting the winrate or success score to a value such as 100, when on the chart it is showing a lower value, how does it ever take a trade from that point on?

If changing the riskreward value to anything other than zero, is it necessary to turn off the the SL and TP?

Thanks for sharing.
  • #364
  • Jul 19, 2010 9:44am Jul 19, 2010 9:44am
Quoting Zurathustra

Also my TP is showing 414 in that screenshot but has since become 720. Does the EA auto set TP levels? If so was there any reason to put a TP SL setting in the EA?
If ReverseTrades is set to false, the EA tests all trades with a SL setting of whatever SL you set.

If ReverseTrades is set to true, the EA tests all trades with a TP setting of whatever TP you set.

Quoting faze
If setting the winrate or success score to a value such as 100, when on the chart it is showing a lower value, how does it ever take a trade from that point on?

If changing the riskreward value to anything other than zero, is it necessary to turn off the the SL and TP?

Thanks for sharing.
The optimization engine of this EA is a lot more efficient than a traditional optimization. Depending on how ReverseTrades is set, the EA will pick either the SL or TP value, and all trades will be tested against that value. Once the TP or SL is set, all that's left to do is find the largest value of the other side between the time the trade is opened and the time the trade either hits the SL/TP (depending on what you set). Then the EA calculates the profit/ loss against that.

So for example. I size my lots so I will lose at a maximum, 200 pips. The EA takes that 200 pip value and finds the largest takeprofit value which meets my win rate, risk reward, and success score requirements. Conversely, if I set the EA so that every winning trade will always win 100 pips TP, the EA then goes through every trade and finds the smallest SL value which meets my criteria.
  • #365
  • Jul 19, 2010 9:51am Jul 19, 2010 9:51am
I should probably elaborate how the backtesting and optimization work.

There are three major steps the EA goes through:

 

  1. Run through all the bars in the backtesting period and write any trade data to a file.
  2. Read the file into a series of arrays based on the hour and trading style
  3. Calculate the highest TP / lowest SL that meets the criterion.

A traditional optimization tests every single permutation, and that has the tendency to take a lot longer.

  • #366
  • Jul 19, 2010 10:35am Jul 19, 2010 10:35am
I would think that when the EA first starts and uses only bar data for the backtest, it's only an approximation since the bars gloss over the fine movements. As the EA runs and gathers live ticks its optimization would become more precise since it's based on fine-grained data.
You are in a maze of twisty little passages, all alike.
  • #367
  • Jul 19, 2010 10:44am Jul 19, 2010 10:44am
Quoting stevegee58
I would think that when the EA first starts and uses only bar data for the backtest, it's only an approximation since the bars gloss over the fine movements. As the EA runs and gathers live ticks its optimization would become more precise since it's based on fine-grained data.
Trickier. It's hard getting a reliable seamless set of tick data to test off of. One day's worth of tick data is pretty insignificant. You'd probably need one week minimum for marginally improved results.
  • #368
  • Edited 1:02pm Jul 19, 2010 12:48pm | Edited 1:02pm
I'm using IBFX to test. Last week I contacted them and they sent me data on E/U back to 4/17. I thought I should get the data from the source on whose platform I'm testing. (?) In the History Center, there is data going back to 4/17 and there were over 65,000 records showing. I now have 69,570.

Friday, I set the chart up on EUR and on the Bars To Optimize, I set it at 50,000. On the Options >Charts, I had Max bars in history = 250,000 and Max bars in chart = 250,000.

It started running about 9:30 Eastern time on Friday. The Cycle Count and Last Tick were quickly changing. I checked it periodically on Saturday but finally on Sunday morning after about 48 hours of running, the Cycle Count was over 1.6M. I removed the EA.

Yesterday afternoon I set the 'Bars To Optimize' to 0, and after a few hours the Cycle Count was just under 400,000. I stopped it again.
Attached Images
  • #369
  • Edited 1:35pm Jul 19, 2010 1:15pm | Edited 1:35pm
Ronald,

Thanks for the EA. I have install the first EA Hilo Trader[TD] and everything is fine. This week the EA has triggered 2 positions both winners. Now I have the EA Hilo Self Optimizing running but the face on the right upper corner is disabled and the Cycle count is running indefinitely. I also changed the "Reject" thing for "Accept". The other parameters are the same as Hilo Trader[TD]. Can you tell me what may be the problem. Thanks.

At the time of the picture Hilo Trader[TD] shows Trading Style: Counter Trend while Hilo Self Optimizing shows nothing.
Attached Image(s) (click to enlarge)
Click to Enlarge Name: hilo self #1.gif Size: 14 KB
Click to Enlarge Name: hilo self #2.gif Size: 12 KB
  • #370
  • Jul 19, 2010 1:28pm Jul 19, 2010 1:28pm
Quoting Eureka
I'm using IBFX to test. Last week I contacted them and they sent me data on E/U back to 4/17. I thought I should get the data from the source on whose platform I'm testing. (?) In the History Center, there is data going back to 4/17 and there were over 65,000 records showing. I now have 69,570.

Friday, I set the chart up on EUR and on the Bars To Optimize, I set it at 50,000. On the Options >Charts, I had Max bars in history = 250,000 and Max bars in chart = 250,000.

It started running about 9:30 Eastern time on Friday. The Cycle Count and Last...
Quoting Forexaccount
Ronald,...
That is expected behavior.

The EA is basically running on an infinite loop. Cycle count is the number of 100 ms intervals that have passed between the last tick and the present. The EA was running over the weekend it seems so it's expected that cycle count goes into the hundred thousands.

and ForexAccount, HiLo SO is a lot pickier than hilo [TD] due to the nature of the optimization algo. What were your SL and TP and ReverseTrades inputs?
  • #371
  • Jul 19, 2010 1:35pm Jul 19, 2010 1:35pm
I will let it run then. Late this morning I started it again.
  • #372
  • Jul 19, 2010 1:36pm Jul 19, 2010 1:36pm
Quoting Ronald Raygun
That is expected behavior.

The EA is basically running on an infinite loop. Cycle count is the number of 100 ms intervals that have passed between the last tick and the present. The EA was running over the weekend it seems so it's expected that cycle count goes into the hundred thousands.

and ForexAccount, HiLo SO is a lot pickier than hilo [TD] due to the nature of the optimization algo. What were your SL and TP and ReverseTrades inputs?

SL = 200
TP = 200
ReverseTrades= False

Does the disabled face looks correct?
  • #373
  • Jul 19, 2010 1:42pm Jul 19, 2010 1:42pm
Quoting Forexaccount
SL = 200
TP = 200
ReverseTrades= False

Does the disabled face looks correct?
Frowny face is adjusted in the common tab when you're setting up the EA.

As for your settings, it looks like your TP is pretty small depending on the desired win rate, risk/reward, and success score. More likely than not, the optimizer EA couldn't find a setting which met your criteria.
  • #374
  • Jul 19, 2010 1:47pm Jul 19, 2010 1:47pm
Quoting Ronald Raygun
Frowny face is adjusted in the common tab when you're setting up the EA.

As for your settings, it looks like your TP is pretty small depending on the desired win rate, risk/reward, and success score. More likely than not, the optimizer EA couldn't find a setting which met your criteria.
So Ronald, it is going to be a paint in the ass to find the right settings. i am not asking you to provide them because I know what is your answer about that but "for you" finding the rights settings is a lot easier because "you know how the EA works" and you know what you are looking for. Can you elaborate more in how to set this EA properly. Thanks
  • #375
  • Jul 19, 2010 1:54pm Jul 19, 2010 1:54pm
It *is* a bit of a pain that you can't change the settings while the EA is running. I guess just re-dragging the EA onto the chart with new settings is OK.
You are in a maze of twisty little passages, all alike.
  • #376
  • Jul 19, 2010 1:58pm Jul 19, 2010 1:58pm
Quoting Forexaccount
So Ronald, it is going to be a paint in the ass to find the right settings. i am not asking you to provide them because I know what is your answer about that but "for you" finding the rights settings is a lot easier because "you know how the EA works" and you know what you are looking for. Can you elaborate more in how to set this EA properly. Thanks
With the exception of the code change, the default settings should work already.

Quoting stevegee58
It *is* a bit of a pain that you can't change the settings while the EA is running. I guess just re-dragging the EA onto the chart with new settings is OK.

I agree. That's the problem when you can't use the start function unfortunately.
  • #377
  • Jul 19, 2010 2:15pm Jul 19, 2010 2:15pm
Quoting Ronald Raygun
With the exception of the code change, the default settings should work already.




I agree. That's the problem when you can't use the start function unfortunately.

But, I have default SL 200 TP 200. you said that EA won't trigger any trade with that!!! I already reset the EA
  • #378
  • Jul 19, 2010 2:18pm Jul 19, 2010 2:18pm
Now the EA is telling "Break Out". Why is it different from Hilo Trader[TD] which shows "Counter Trend"?
  • #379
  • Jul 19, 2010 2:23pm Jul 19, 2010 2:23pm
Quoting Forexaccount
But, I have default SL 200 TP 200. you said that EA won't trigger any trade with that!!! I already reset the EA
Okay.

Delete old EA, put in new EA, download and import bar data (www.forextester.com/data/datasources.html) start again.
  • #380
  • Edited 4:22pm Jul 19, 2010 4:02pm | Edited 4:22pm
Ok Ronald, i have data from 2001 Hilo Trader[TD] Shows "BreakOut" but Hilo Trader Optimizing (New EA, old removed) shows nothing. Only the happy face but nothing more. I changed the "Reject" string as well. See picture. You can see there is no text on the left. Oh, SL, TP is again 200 as copied (default).


PROBLEM RESOLVED. I RESTARTED THE PLATFORM AND THIS TIME IS WORKING. LET SEE HOW IT GOES. ANYWAY STOP LOSS, TAKE PROFIT IS STILL 200 BY DEFAULT BUT YOU SAID THAT 200 IS TOO SMALL. LET ME KNOW
Attached Image (click to enlarge)
Click to Enlarge Name: hilo self #2.gif Size: 10 KB
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