Algorithmic ''centrifuge''

[Реter Konow]

Based on this topic:https://www.mql5.com/ru/forum/79324

Is it possible to build strategies to automatically build parameter configurations?

The concept is as follows:

1. All trading systems use common groups of parameters:

• Indicator parameters - derived parameters calculated by indicators. Each indicator can be represented by a single parameter, which produces different values using its calculation formula.
• Order parameters - lot, stoploss, takeprofit, trailing values and others. Formulas are not used in calculations. Only optimization that selects the best values depending on other factors is used.
• Market parameters - price, volume. They are taken into account within the indicator formulas and do NOT require a separate inclusion into the systems.
• Statistical parameters - drawdown, profit factor, equity... They do NOT need to be included in the trading system, as their function is replaced by optimizing the order parameters and system overshooting.
• The balance of the deposit is the main parameter in relation to which other parameters are enumerated and their values are optimized.
  

Since combinations of these parameters can be found in all Expert Advisors, we could theoretically create a mechanism for the automatic strategy build. The mechanism will try different configurations of the indicator parameters and their values, considering them as market entry signals. Order parameters will be optimized on the history in the tester. The main indicator of a successful parameter fitting is the increased deposit. It is the percentage of its growth that will be considered as the efficiency of parameters configurations and their values.

We are interested in practicality and the estimated technical complexity of implementing such a mechanism.

[[Deleted]]

Another fantastic idea

[Дмитрий]

The optimization problem of linear programming.

Excel - add-on Solution Finder.

Target function - profit function - maximize.

You set the variables and constraints of the model.

Cram the model - 1-2 hours.

Search for a solution - I don't know how long. Depends on how long the row is. Maybe 1 hour.

[Реter Konow]

Дмитрий:

The optimization problem of linear programming.

Excel - add-on Solution Finder.

Target function - profit function - maximize.

You specify the variables and constraints of the model.

Everything is solved in Excel? Where do indicators and optimization come from?

You need indicators represented by parameters and market data to work and optimize them. It probably can't be done in Excel...

[Дмитрий]

Реter Konow:
Everything is solved in Excel? Where do the indicators and optimization come from?

You need to fill in the indicators with formulas.

And optimisation is built in - the Solution Finder add-on

[Дмитрий]

Well, maybe there are other mathematical packages that have algorithms for solving linear programming problems, but I've always used Excel.

[Реter Konow]

Дмитрий:

You need to fill in the indicators with formulas.

And optimisation is built in - the Solution Finder add-on

Indicators use market data of market instruments. Should they also be loaded into Excel?

[Дмитрий]

Реter Konow:
The indicators use the market data of the market instruments. Do you load them into Excel too?

Just copy it into Excel. You are going to check on each pair separately.

Copy the row, fill in the indicators with formulas, in the cell the formula of the target function and the cells of the variables.

And that's it.

[Реter Konow]

Дмитрий:

Just copy it into Excel. You are going to check on each pair separately.

Copy the row, fill in the indicators with formulas, in the cell the formula of the target function and the cells of the variables.

That is all.

And why do people write strategies?)

[Реter Konow]

The output is to be given as follows:

1. configuration of the parameters representing the indicators.

2. configuration of indicator parameter values to be used for entry points.

3. configuration of the values of order parameters which will bea result of optimisation of (1) indicator configuration (2) their values selected for entry points.

All together will constitute a trading system.

[Реter Konow]

Vladimir Baskakov:
Another fantastic idea

I don't think the idea is fantastic. It all boils down to the optimisation we all love here, only more complicated.

It is not only the values of the system parameters that need to be selected, but also the system parameters themselves. Indicators are taken as a sample of the system parameters. Otherwise everything is the same.

1. First we select the system parameters (assembling of indicators).

2. We select values for the entry points (for the selected indicators assembly).

3. Selecting values for the order parameters - stops and lot.

We obtain the output trading strategy.