Optimization within code

Hi,

I was wondering if there is a way to run optimization such as with the strategy tester, but instead within the code itself for the purposes of speed. Perhaps a script?

Not creating a faster code, but specifically running optimization to produce the most profitable results for an EA within the code.

If you want to optimize something that requires billions of passes is there a faster way to get the best results from within the code itself rather then using the strategy tester?

I know MT5 can use multiple cores and produce faster results then MT4 single threaded strategy tester, but if you are using bruteforce method, this would still take years to optimize something that required billions of passes - even with a quadcore. And MT5 automatically defaults to genetic algo after you go past wanting to optimize something that requires more then 100,000,000 passes. So no bruteforce.

Someone a while ago told me that you can run optimization within the code and its much faster.

Any ideas?

Thanks,

davidforex20

Hi David,

I think the question might need rephrasing. I'm reading your question as (and rephrasing it to increase the scope beyond just MT4/5):


The short answer is yes - regardless of the platform used. It depends the design and implementation of the algorithm (or EA to use Metatrader jargon). It may not be a small task from a programming or algorithmic design perspective but conceptually there isn't much more to it than that. The amount of CPU required is dependent on what the algorithm is and how it handles and processes the input data (e.g the models or indicators runs etc.) to produce signals. You also have to write your own "optimiser."

Would I be right is saying you are looking for an adaptive strategy?

9047.

I would look at improving the speed of your code and try avoid streamline it. Anyway, How good can a strategy be if you have to optimise it and run 100,000,000 times to find something that fits? Even a complicated machine learning algo might only take an overnight run to handle a days trading.

anyway if you need power then maybe use Matlab:

http://uk.mathworks.com/products/par....mathworks.com

I even think you can use additional agents with MT5

http://www.metatrader5.com/en/terminal/help/mql5cloud

Ive never had to use them though when I've coded on Mt5