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Genetic Optimization - Multi Assets Optimization #449041
03/01/15 22:46
03/01/15 22:46
Joined: Sep 2014
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Giorm Offline OP
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Giorm  Offline OP
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It could be very useful add these requests on the next ZT version. Let me know what you think about these requests.

- Genetic Optimization
It could be very interesting to use Genetic Optimization to find optimal parameters. To avoid outlier and make sure your results are robust you could use the same method of Multicharts (http://www.multicharts.com/genetic-strategy-optimization/): "If the algorithm thinks it has found something good, it will start testing around the newly found peak to determine if this peak is an outlier. If this result is an outlier, genetic optimization leaves it and moves on to other areas".

- Multi Assets Parameter Optimization
One technique you can use to keep the optimizer from doing its job too well (otherwise known as overfitting) is to let the optimizer pick the parameters that work best on a basket of assets rather than a single one. So for some type of parameters could be useful to have the possibility to optimize a parameter over a basket of assets contemporary. It also could be interesting plot the optimization graph.

- Multi Assets Barperiod optimization
This is a specific case of the previous point but, as i know that Barperiod is a special parameter for ZT, so I ask specifically. If i am designing and developing a strategy I would like to search the best barperiod that works well over a group of assets and not only for one of them (and I don't like to use a generic value or try manually searching the best value as I do now).

Re: Genetic Optimization - Multi Assets Optimization [Re: Giorm] #449051
03/02/15 14:43
03/02/15 14:43
Joined: Jul 2000
Posts: 27,977
Frankfurt
jcl Offline

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The multicharts method indeed sounds interesting. I will have a look at it. If it works as described I'll put it on our to do list for a future implementation.

Re: Genetic Optimization - Multi Assets Optimization [Re: jcl] #449184
03/06/15 22:32
03/06/15 22:32
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Giorm Offline OP
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Giorm  Offline OP
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Perfect! Thanks.

And what about the other requests?
I attach a simple result of my manual optimizing of the BarPeriod contemporary over a group of Assets: I manual changed the Barperiod value and registered the win, loss and return on excel and that is the result.
Do you think that the result could be considered interesting to add the second and third functionalities requested?
I think that should not be so expensive (function points speaking).
thanks

Attached Files Manually Optimize Barperiod.png
Re: Genetic Optimization - Multi Assets Optimization [Re: jcl] #449327
03/15/15 08:38
03/15/15 08:38
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Giorm Offline OP
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Giorm  Offline OP
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Hi jcl,
may i have your answers for the other two requests please?

Last edited by Giorm; 03/15/15 08:38.
Re: Genetic Optimization - Multi Assets Optimization [Re: Giorm] #449359
03/16/15 15:54
03/16/15 15:54
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jcl Offline

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We never had any success in multi-asset optimization so far. It always produced bad results. You can often use the same strategy for multiple assets, but not with the same parameters.

But if you want to do it nevertheless, just optimize only once for multiple assets. You can easily do that by not using a loop() function for changing assets.

Re: Genetic Optimization - Multi Assets Optimization [Re: jcl] #449374
03/16/15 22:22
03/16/15 22:22
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Giorm Offline OP
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I have some problem to find the solution.
What is the code to try your method to optimize only one for multiple asset (so that the optimization executes comtemporary over all the assets).
Can you please help me with some lines of codes?

thanks

Re: Genetic Optimization - Multi Assets Optimization [Re: Giorm] #449403
03/18/15 17:17
03/18/15 17:17
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Frankfurt
jcl Offline

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jcl  Offline

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Frankfurt
A basic example:

parameter1 = optimize(....);
parameter2 = optimize(....);

asset("EUR/USD");
trade(parameter1,parameter2);

asset("AUD/USD");
trade(parameter1,parameter2);

asset("JPY/USD");
trade(parameter1,parameter2);

... etc.

Instead of the repeated asset/trade calls, a more elegant way is using an asset list, a for() loop, and a switch() statement.

Re: Genetic Optimization - Multi Assets Optimization [Re: Giorm] #450574
04/18/15 13:42
04/18/15 13:42
Joined: Mar 2015
Posts: 336
Rogaland
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nanotir Offline
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Rogaland
I thought about the same while I went through the optimization section of the tutorial.
Now that I am starting playing with some strategies, I notice as well that the optimization is towards profit% so it is possible that after the optimization the strategy gets the highest profit but only 5 trades in 4 years. I would rather prefer to reduce the performance of the strategy and optimaze it towards the Shape Ratio which is a really important factor. I think it is a good start point to develop a strategy if the parameters which provide the best SR are known.
(Or, am I wrong and the highest SR is related to the highest profit?)

Last edited by Nanitek; 04/18/15 13:44.
Re: Genetic Optimization - Multi Assets Optimization [Re: GPEngine] #450576
04/18/15 14:41
04/18/15 14:41
Joined: Sep 2013
Posts: 504
California
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GPEngine Offline
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The default objective function is geared towards maximizing PRR, which it is claimed, accounts for the # of trades. I assume it penalizes low # of trades.

Anyway, you can tweak this penalty by writing your own objective function.

Re: Genetic Optimization - Multi Assets Optimization [Re: jcl] #455057
10/05/15 15:42
10/05/15 15:42
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Giorm Offline OP
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Hi Jcl,
have you already planned the developing of the genetic optimization funcionality (multicharts method)?
On which version?

thanks

Re: Genetic Optimization - Multi Assets Optimization [Re: Giorm] #455068
10/06/15 11:27
10/06/15 11:27
Joined: Jul 2000
Posts: 27,977
Frankfurt
jcl Offline

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jcl  Offline

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Posts: 27,977
Frankfurt
Yes, this is planned, but I can not tell yet on which version.

Re: Genetic Optimization - Multi Assets Optimization [Re: jcl] #471689
03/15/18 00:28
03/15/18 00:28
Joined: Dec 2017
Posts: 129
Halifax, NS
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kujo Offline
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Halifax, NS
Any updates on this?

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