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How to trade a different asset than that used for training?
#472153
04/12/18 14:17
04/12/18 14:17
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Joined: Oct 2017
Posts: 52 Brazil
jmlocatelli
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OP
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Posts: 52
Brazil
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Hi, How can I train a strategy using a certain asset history, and trade using a different asset? The idea is to train using a continuous historic data and trade future contract with expiration date. tks, jm
Last edited by jmlocatelli; 04/12/18 14:31.
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Re: How to trade a different asset than that used for training?
[Re: AndrewAMD]
#472158
04/12/18 15:40
04/12/18 15:40
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Joined: Dec 2017
Posts: 129 Halifax, NS
kujo
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Member
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Posts: 129
Halifax, NS
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As far as I know (according to Support), Zorro doesn't provide any out-of-the box functionality to construct a continuous futures contract. My idea was to construct it manually using Zorro's datasets. If you know a better way, could you please share your thoughts?
Last edited by kujo; 04/12/18 15:40.
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Re: How to trade a different asset than that used for training?
[Re: kujo]
#472161
04/12/18 16:09
04/12/18 16:09
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Joined: Feb 2017
Posts: 1,725 Chicago
AndrewAMD
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Serious User
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My idea was to construct it manually using Zorro's datasets. Manually is exactly what I meant.
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Re: How to trade a different asset than that used for training?
[Re: AndrewAMD]
#472163
04/12/18 18:37
04/12/18 18:37
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Joined: Oct 2017
Posts: 52 Brazil
jmlocatelli
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for the pourpose to train on asset WDO$D and trade on asset WDOK18, would does this work??
asset("WDO$D"); vars PriceCloseWDO = series(priceClose()); Parameter = optimize(...); var Signals[2]; Signals0 = signal generation based on Parameter and PriceCloseWDO ... Signals1 = signal generation based on Parameter and PriceCloseWDO ... bool BuySig = adviseLong(DTREE,0,Signals,2) > 0; bool SellSig = adviseShort(DTREE,0,Signals,2) > 0; if(is(TRADEMODE)) asset("WDOK18"); if(BuySig) enterLong(); if(SellSig) exitLong();
Last edited by jmlocatelli; 04/12/18 18:47.
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Re: How to trade a different asset than that used for training?
[Re: jmlocatelli]
#472164
04/12/18 19:14
04/12/18 19:14
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Joined: Dec 2016
Posts: 43
Fiber
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Posts: 43
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Edit asset name in .par file, and change name of .par file. Or copy paste content between .par files. Same for .c files if using ML.
Last edited by Fiber; 04/12/18 19:17.
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Re: How to trade a different asset than that used for training?
[Re: Fiber]
#472165
04/12/18 20:28
04/12/18 20:28
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Joined: Oct 2017
Posts: 52 Brazil
jmlocatelli
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Thanks fiber,
"I can change the script manually removing the optimize commands, assign the optimized values to the parameters, and change the asset name. But its a little more complicated when using machine learning."
I'm already doing this. It's prone to errors. But could have a straightforward way.
Last edited by jmlocatelli; 04/12/18 20:28.
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