Discussing the article: "Developing a Multi-Currency Expert Advisor (Part 31): Secrets of the Optimization Project Creation Step (I)"

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Check out the new article: Developing a Multi-Currency Expert Advisor (Part 31): Secrets of the Optimization Project Creation Step (I).

The article examines two practical aspects of the Adwizard-based optimization pipeline: diagnostics and recovery after failures when generating the final Expert Advisor database, as well as preliminary selection of strategy parameter ranges before project creation. It is shown how analyzing the stages/jobs/tasks tables in SQLite and restarting stages based on their statuses help restore the process, while trial optimization narrows the search space, eliminates redundant parameters, and reduces the risk of getting stuck at local maxima.

Let's start by analyzing why the database for the final Expert Advisor of the first stage was not created. To recap, here's what happened: we created three different optimization projects and ran them through the automated optimization pipeline. As a result, we expected to receive three databases for the final Expert Advisors, but we received only two. No database was created for the first project. We suspect that the most likely cause may not be related to errors in the program code. But this may not be the only reason.

Next, let's look at what preparatory work should be done before the project creation step. After all, in the previous article, we used almost everything off the shelf—the trading strategy, specific ranges of parameters to be optimized, the time frame for optimization, and other elements. And behind each such item lies a certain amount of work involved in obtaining the necessary values and justifying the validity and effectiveness of those choices.

Let's imagine that we've just implemented a new trading strategy and want to use it for automatic optimization. In other words, we'll consider Step 1 of developing a trading strategy to be complete, but we haven't yet begun to analyze how this strategy behaves under different values of the input parameters. Without at least a cursory study of this kind, it will be impossible to complete the second step. Therefore, let's perform some preliminary optimization runs of the Expert Advisor for the first optimization stage, outside the automatic optimization pipeline.

Author: Yuriy Bykov