optimize() issue

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optimize() issue #437961 03/03/14 11:31 03/03/14 11:31
Joined: Oct 2013 Posts: 18 5 512mb OP Newbie
512mb OP Newbie 5 Joined: Oct 2013 Posts: 18	For example you train parameter with p=optimize(200,100,300) now p is 120 in par file change code to p=optimize(200,150,300) run test, par file is read and value used for p is not 120 (I guess its 200, not sure, but test result is definitely different) this is confusing if assets are optimized separately and then combined. Last edited by 512mb; 03/03/14 11:57.

Re: optimize() issue [Re: 512mb] #437966 03/03/14 13:15 03/03/14 13:15
Joined: Jul 2013 Posts: 522 D dusktrader User
dusktrader User D Joined: Jul 2013 Posts: 522	In your first example optimize(200,100,300) you are telling Zorro to step from 100 to 300. Apparently it likes 120 best. In the second example optimize(200,150,300) you are telling Zorro to step from 150 to 300, so that would mean that 120 is no longer an option. Therefore, it chooses the next most-robust value in that range. The first value 200 is the "start" value. It uses this value as a best-default when optimizing other parameters. For example, when optimizing a second different parameter, it will use 200 for that first parameter since that is the start value.

Re: optimize() issue [Re: dusktrader] #437969 03/03/14 13:51 03/03/14 13:51
Joined: Oct 2013 Posts: 18 5 512mb OP Newbie
512mb OP Newbie 5 Joined: Oct 2013 Posts: 18	I am only running TEST not TRAIN on the second example, so it is not stepping, it is reading par file. Parameter should be taken from par file, which is loaded for test and it is not using that value. Try it.

Re: optimize() issue [Re: 512mb] #437970 03/03/14 14:21 03/03/14 14:21
Joined: Jul 2013 Posts: 522 D dusktrader User
dusktrader User D Joined: Jul 2013 Posts: 522	Hmm... ok, I'll bite. Just to see... I put together this little test based on Workshop4_1: Code: #include <profile.c> function run() { set(PARAMETERS); vars Price = series(price()); vars Trend = series(LowPass(Price,1000)); Stop = optimize(4,1,10)ATR(100); if(valley(Trend)) enterLong(); else if(peak(Trend)) enterShort(); } When I train this, Zorro assigns an optimize value of 5.09 in the .par file. If I TEST next, I get this: Quote: Read dt-test-par_EURUSD.par Profit 5$ MI 0$ DD 21$ Capital 19$ Trades 441 Win 18% Avg +1.1p Bars 69 AR 5% PF 1.04 SR 0.07 UI 67.2% Error 41% But then if I change that line in the script to read: Code: Stop = optimize(10,10,15)ATR(100); then without reTrain, only TEST gives this result: Quote: Read dt-test-par_EURUSD.par Profit 5$ MI 0$ DD 21$ Capital 19$ Trades 441 Win 18% Avg +1.0p Bars 69 AR 5% PF 1.04 SR 0.07 UI 68.9% Error 41% The difference is negligible, but why is it different at all?

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