Hi, I'm practicing the advise(PATTERN+FAST) function based on F.H.'s
Oversampling.
I had tried several tests but didn't get any sound result(usually loss around 400p) for going further.
Those tests aimed for patterns with better predictive power. Things I had tried include(in combination)
1. modifying WFO training period from 0.5-5 years
2. oversampling from 2-6
3. adjusting PatternCount from 4-40
4. limiting trading period between UTC8-12 and other periods.
Could you give me any hint or advise to improve the fundamental performance of the system (without adding other filters or complicated things)?
function run()
{
var Limit = 80;
StartDate = 2007;
EndDate = 2016;
BarPeriod = 60;
WFOPeriod = 252*24; //I had tried 252*24 - 5*252*24
NumSampleCycles = 4; //I had tried 2-6
set(RULES+ALLCYCLES+RECALCULATE+OPENEND);
if(Train) Hedge = 2;
else Hedge = 1;
PatternCount = 20; // I had tried 4-40
LifeTime = 3;
if(between(hour(),8,12)) // I had tried different time periods
{
if(adviseLong(PATTERN+FAST+2,0,
priceHigh(2),priceLow(2),priceClose(2),
priceHigh(1),priceLow(1),priceClose(1),
priceHigh(1),priceLow(1),priceClose(1),
priceHigh(0),priceLow(0),priceClose(0)) > Limit)
reverseLong(1);
if(adviseShort() > Limit)
reverseShort(1);
}
}
