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Strategy Testing, with reoptimization at intervals

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Jesus Angeles
374
Jesus Angeles 2010.11.02 08:36 

Hi,


Is this possible with either MT4 or MT5?


Example.

I want to run an EA for 12 months, before each month is ran, specified variables are used to get optimum (highest in optimization) setting, and is used on the upcoming month's trade.  And after that month, optimization is again done, and applied to the next month, and so on and so forth.


All in one run of a strategy tester.



Is this possible currently?

Winsor Hoang
4831
Winsor Hoang 2010.12.02 21:35  
You are suggesting a very advance method for optimization.
Alexey Da
Moderator
6606
Alexey Da 2010.12.08 09:27  
At this moment you can't do it automatically. 
Jesus Angeles
374
Jesus Angeles 2016.04.10 17:57  

Hello guys,

 

Is what I originally described above still not available (feature) in MT4/MT5? 

Marco vd Heijden
Moderator
4707
Marco vd Heijden 2016.04.10 19:24  
what would serve it's purpose ?
Frederic Metraux
512
Frederic Metraux 2016.04.11 02:16  

You will find this article useful:

https://www.mql5.com/en/articles/1467

Anyway, optimization is not the holy graal. Best values are not the highest, which lead to curve fitting.

Automated Optimization of a Trading Robot in Real Trading
Automated Optimization of a Trading Robot in Real Trading
  • 2007.10.04
  • Igor Malcev
  • www.mql5.com
The articles describes and provides a library of functions that allows a trader to optimize his or her Expert Advisor's inputs by launching optimization directly from the EA.
Jesus Angeles
374
Jesus Angeles 2016.04.11 16:41  

That gave me an idea.  Thanks!

 For backtest, I generate all optimization output files  (e.g. monthly optimization), first, most likely by a separate robot.  Then I run the strategy tester (the main robot), referring to optimization files before each period.

 <Flexing fingers, preparing to code> 

 

I agree that even with such automated optimization, robots can still stink.  However, it wouldnt hurt to try.  I have time to code it.  It is fun to see and prove things right or wrong. 

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