Optimisation! Share your experiences, please. - page 4
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Gentlemen, already starting to lose faith in EAs, or myself :(. I have written a lot of variants. Mostly on the pound on hours. I use muwings, stochastic and hourly analysis. I use annual history for writing and optimization. Expert Advisor enters the market an average of 2 times in 3 days. Everything is cool on tests. But!!! ... in real life in the next 2 weeks we lose money... And all is not like that :(. Talking about the parameters being adjusted for a one year period and the market constantly and rapidly changing...? yeah somehow I don't believe it. The sample is large - under 160-200 market exits, and 2 weeks is not a time frame for big changes. Can one adjust parameters to such a number of trades and can the market change so quickly? Tell me how to do it. If something works, brag about it and give me faith. I have given up hope.
Are the results on the real account and on the history for the last 2 losing weeks coincident ? I mean, the EA opens trades in the same place as on the historical data ?
Yes - everything coincides.
Genetic algorithms are appropriate when we are talking about thousands of runs. In your case, 231 is a very small number for genetics. So maybe something went wrong when using the genetic algorithm for optimization in such a small range of runs? Only developers can answer this question more accurately.
I see, thank you!
I thought it was some kind of glitch... easily reproducible though.
Now, as for the optimization experience.
I never tried to optimize all parameters at once. I think it's an excessive waste of computer resources.
It's better to spend time studying relationships of parameters and optimize them through small related groups.
I have two of them: one of them is related to entry into trades and order placement, the other one - to exit the trade.
I optimize entry first, and then exit. The maximum optimization period is half a year.
After optimization I run a test on the entire array - if there are no problems, I start working with parameters.
If there is a huge drawdown at some very close fragment, I optimize during this very period (again, no longer than six months).
Once again I repeat the analysis in the entire database. I do it every 2-3 months, or more frequently, if I do not like the results of the last trade.
I don't see the point in optimizing since 19... year, then the market and now - is, as they say, two big differences!
All said only IMHO.
Gentlemen, already starting to lose faith in EAs, or myself :(. I have written a lot of variants. Mostly on the pound on hours. I use muwings, stochastic and hourly analysis. I use annual history for writing and optimization. Expert Advisor enters the market an average of 2 times in 3 days. Everything is cool on tests. But!!! ... in real life in the next 2 weeks we lose money... And all is not like that :(. Talking about the parameters being adjusted for a one year period and the market constantly and rapidly changing...? yeah somehow I don't believe it. The sample is large - under 160-200 market exits, and 2 weeks is not a time frame for big changes. Can one adjust parameters to such a number of trades and can the market change so quickly? Tell me how to do it. If something works, brag about it and give me faith. I have given up hope.
Tell me if the results on the real and on the history for the last 2 weeks are the same ? I mean the EA opens trades in the same place as on the historical data ?
Yep - everything coincides.
AndyGri - have you disappeared from my ICQ? Hit me up again. ICQ: 1-850-250.
The sample is large - under 160-200 market entries, and 2 weeks is not the time frame for big changes. Is it possible to fit the parameters to so many trades and can the market change so immediately? What to do?
https://www.mql5.com/ru/forum/50458 solandr 18.03.06 20:11
This childhood I was engaged in a year ago. That system then successfully flushed in the real world (I reported about it in the same thread later, somewhere in May 2006). The idea of the system was conditionally taken from the ceiling (catching peaks in the noise). So you are not the first to step on the rake of fitting.
In my first post of this thread solandr 23.03.2007 15:43 I gave a link to Bakeev's suggestion about comparing results of optimization on martingale to understand how your algorithm can be fitted to a random curve (how viable your algorithm idea is). And from there you can decide for yourself whether you want to do it or not.
There are 6 parameters that are actually optimized. The rest of the variables have not been optimized. Some of them (volumes, for example) are not used by the Expert Advisor at all - were introduced at the beginning of writing, since there were plans to involve them in additional parameters for input and output. The Expert Advisor is under development. So, there are just the same 6, which can be used to fudge the results :) - I hope not.
Are you talking about the EA's hourly period? What period of time are you talking about when you mention the whole array? How does the EA behave in different years, e.g. 2004, 2005, 2006? My Expert Advisor has alternating dynamics. It either has profit 0 or earned (I'm speaking about the history testing). Thanks in advance for your reply! :)
I work on my watch. For the last year the dynamics is positive.
I have been working on it for two years and I have been earning from it for the last year.
The trades performed on real account and in the tester coincide with each other accurately before trader's interference :-).
But I trade only with pending orders, I do not move in from the market!
And one more thing IMHO - I optimize only the minimum lot!
Gentlemen, already starting to lose faith in EAs, or myself :(. I have written a lot of variants. Mostly on the pound on hours. I use muwings, stochastics and hourly analysis. I use annual history for writing and optimization. Expert Advisor enters the market an average of 2 times in 3 days. Everything is cool on tests. But!!! ... in real life in the next 2 weeks we lose money... And all is not like that :(. Talking about the parameters being adjusted for a one year period and the market constantly and rapidly changing...? yeah somehow I don't believe it. The sample is large - under 160-200 market exits, and 2 weeks is not a time frame for big changes. Can one adjust parameters to such a number of trades and can the market change so quickly? Tell me how to do it. If something works, brag about it and give me faith. I have given up hope.
Tell me if the results on the real account and on the history for the last 2 losing weeks are the same ? I mean the EA opens trades at the same place as on historical data ?
Yep - everything matches.
The thing is that the data period we used for testing was the whole year 2006. I have found about 5 variants of settings. 3 of them have died since the beginning of 2007 - i.e. drawdown is larger than in 2006. 2 of them are alive, but the dynamics is not the same as in 2006, but they don't fail. As for stability in different years - I can't boast. in 2005 half a year growth, then it plummeted, and then recovered. i.e. a big dip of about 60%. In 2004 everything seems to be not bad - i.e. there are no plums, but yield curve is "castrubata" (pardon the expression). The variant of the test that is presented here is the Expert Advisor reoptimized based on pre-16th of February data and tested based on almost the current moment. There is an Expert Advisor for Day Boards with similar logic, there is 3-4 years of growth, then flat on the yield curve for a couple of years, then growth again. In general, everything is not clear. I am afraid of getting the EA fitted via optimization. I don't know how to determine what I am allowed to do in real trading :(
The point is that the data period for development was taken for the whole year 2006. About 5 variants of settings were derived. 3 of them died since the beginning of 2007 - i.e. drawdown is higher than the period for 2006. Two of them are still alive, but not the same dynamics - not coinciding with 2006, but they are not plummeting. As for stability in different years - I can't boast. 2005 had half year growth, then a plum, and then a recovery. I.e. a big dip of about 60%. In 2004 all seems to be not bad - i.e. there are no plums, but yield curve is "kasturbata" (sorry for the expression). The variant of the test that is presented here is the Expert Advisor reoptimized using the data till the 16th of February and has been tested almost at the current moment. There is an Expert Advisor for Day Boards with similar logic, there is 3-4 years of growth, then flat on the yield curve for a couple of years, then growth again. In general, everything is not clear. I am afraid of getting the EA to be adjusted through optimization. I do not know how to determine what may be allowed to go in real trading :(
Then I will say unambiguously - we must optimize it for a long period of time. Otherwise, please excuse me.
After a year of work you will be different, and certainly the market will be different.
On the other hand, the market is a rather inertial system, and if the recent results are satisfactory there is hope,
that in the near future there will not be a sharp change in the trend.
(All purely IMHO).
Are you talking about the EA's hourly period? What time period are you talking about when you mention the whole array? How does the EA behave in different years, e.g. 2004, 2005, 2006? My Expert Advisor has alternating dynamics. It either has profit 0 or earned (I'm speaking about the history testing). Thank you in advance for your reply! :)
I work on the clock. The trend over the last year is positive.
The upper chart - for two years, the lower one - for the last year.
Real and Tester trades coincide with each other accurately up to trader's intervention :-).
But I trade only with pending orders, I do not move in from the market!
And one more thing IMHO - I optimize only with minimal lots!
The point is that the development data period was taken for the whole of 2006. About 5 settings were derived. 3 of them died since the beginning of 2007 - i.e. the drawdown is greater than the period for 2006. Two of them are still alive, but not the same dynamics - not coinciding with 2006, but they are not plummeting. As for stability in different years - I can't boast. 2005 had half year growth, then a plum, and then a recovery. I.e. a big dip of about 60%. In 2004 all seems to be not bad - i.e. there are no plums, but yield curve is "kasturbata" (sorry for the expression). The variant of the test that is presented here is the Expert Advisor reoptimized using the data till the 16th of February and has been tested almost at the current moment. There is an Expert Advisor for Day Boards with similar logic, there is 3-4 years of growth, then flat on the yield curve for a couple of years, then growth again. In general, everything is not clear. I am afraid of getting the EA to be adjusted through optimization. I don't know how to determine what I can put in the real one :(
Then I will say unambiguously - we must optimize it for a long period of time. Otherwise, please excuse me.
After a year of work you will be different, and certainly the market will be different.
On the other hand, the market is a rather inertial system, and if the recent results are satisfactory there is hope,
that in the near future there will not be a sharp change in the trend.
(All purely IMHO).
So which side should we look at? :) Over what period to test, on which to write, and how long to count on the results and when to finally re-optimize? Eh... Who knows for sure... But tell me, who does? :) Watcha pound!!!