Any way in MC to optimize on a list of instruments? - MultiCharts | futures io social day trading
futures io futures trading


Any way in MC to optimize on a list of instruments?
Updated: Views / Replies:1,438 / 9
Created: by nikke Attachments:0

Welcome to futures io.

(If you already have an account, login at the top of the page)

futures io is the largest futures trading community on the planet, with over 90,000 members. At futures io, our goal has always been and always will be to create a friendly, positive, forward-thinking community where members can openly share and discuss everything the world of trading has to offer. The community is one of the friendliest you will find on any subject, with members going out of their way to help others. Some of the primary differences between futures io and other trading sites revolve around the standards of our community. Those standards include a code of conduct for our members, as well as extremely high standards that govern which partners we do business with, and which products or services we recommend to our members.

At futures io, our focus is on quality education. No hype, gimmicks, or secret sauce. The truth is: trading is hard. To succeed, you need to surround yourself with the right support system, educational content, and trading mentors Ė all of which you can find on futures io, utilizing our social trading environment.

With futures io, you can find honest trading reviews on brokers, trading rooms, indicator packages, trading strategies, and much more. Our trading review process is highly moderated to ensure that only genuine users are allowed, so you donít need to worry about fake reviews.

We are fundamentally different than most other trading sites:
  • We are here to help. Just let us know what you need.
  • We work extremely hard to keep things positive in our community.
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts.
  • We firmly believe in and encourage sharing. The holy grail is within you, we can help you find it.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

Reply
 
Thread Tools Search this Thread
 

Any way in MC to optimize on a list of instruments?

  #1 (permalink)
Trading Apprentice
grandiose
 
Futures Experience: Intermediate
Platform: Multicharts
 
Posts: 34 since Aug 2010
Thanks: 5 given, 6 received

Any way in MC to optimize on a list of instruments?

Hi,

Anyone found out a way in MC to optimize a signal in MC on a list of symbols so that it would optimize the signal with different inputs for each symbol?

In NT, despite NT's all shortcomings, this can be done but I havent found a way in MC to do it.

Reply With Quote
 
  #2 (permalink)
Site Administrator
Manta, Ecuador
 
Futures Experience: Advanced
Platform: My own custom solution
Favorite Futures: E-mini ES S&P 500
 
Big Mike's Avatar
 
Posts: 46,240 since Jun 2009
Thanks: 29,352 given, 83,232 received

Load the Portfolio Backtester, it is separate from the main MultiCharts app but part of the installation.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

Reply With Quote
 
  #3 (permalink)
Trading Apprentice
grandiose
 
Futures Experience: Intermediate
Platform: Multicharts
 
Posts: 34 since Aug 2010
Thanks: 5 given, 6 received



Big Mike View Post
Load the Portfolio Backtester, it is separate from the main MultiCharts app but part of the installation.

Mike

Yes, the problem with it is that it tries to find one setting for the whole list of symbols. It doesnt optimize them individually for each symbol.

Reply With Quote
 
  #4 (permalink)
Trading Apprentice
grandiose
 
Futures Experience: Intermediate
Platform: Multicharts
 
Posts: 34 since Aug 2010
Thanks: 5 given, 6 received

The problem arises when I have quite a generic strategy that I would like to run on a lot of stocks and I would like to find on which stocks it works best with small variations in settings for every stock.

Reply With Quote
 
  #5 (permalink)
Site Administrator
Manta, Ecuador
 
Futures Experience: Advanced
Platform: My own custom solution
Favorite Futures: E-mini ES S&P 500
 
Big Mike's Avatar
 
Posts: 46,240 since Jun 2009
Thanks: 29,352 given, 83,232 received


nikke View Post
The problem arises when I have quite a generic strategy that I would like to run on a lot of stocks and I would like to find on which stocks it works best with small variations in settings for every stock.

Understood.

I don't know the answer, hopefully @MultiCharts can comment.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

Reply With Quote
 
  #6 (permalink)
Elite Member
Canberra
 
Futures Experience: Beginner
Platform: MultiCharts
Favorite Futures: AUD/USD
 
Posts: 31 since Mar 2012
Thanks: 23 given, 22 received

Hi Nikke,

I wonder are you trying to optimise on many symbols at once just for convenience? I assume this is the case and you are trying to optimise on a large number of symbols and don't want to have to load up each chart and run optimization manually for each one.

I am pretty sure you can't do this in PBT, but would be a handy feature I would vote for Simpler to implement would be some kind of scripting capability in PBT. Your task be a cinch with a shell script provided backtester could be run from the command-line.

cheers

Reply With Quote
 
  #7 (permalink)
Trading Apprentice
grandiose
 
Futures Experience: Intermediate
Platform: Multicharts
 
Posts: 34 since Aug 2010
Thanks: 5 given, 6 received


BenosBanderos View Post
Hi Nikke,

I wonder are you trying to optimise on many symbols at once just for convenience? I assume this is the case and you are trying to optimise on a large number of symbols and don't want to have to load up each chart and run optimization manually for each one.

I am pretty sure you can't do this in PBT, but would be a handy feature I would vote for Simpler to implement would be some kind of scripting capability in PBT. Your task be a cinch with a shell script provided backtester could be run from the command-line.

cheers

I am not doing it for convenience, its not really for optimisation purposes. Can be more viewed as data-mining, based on these results I know at which symbols I should start looking at more in depth.

Scripting possibilities would solve it, was even thinking about adding the logic into the signals themselves somehow but that might be a bit too hard.

Reply With Quote
 
  #8 (permalink)
Elite Member
Canberra
 
Futures Experience: Beginner
Platform: MultiCharts
Favorite Futures: AUD/USD
 
Posts: 31 since Mar 2012
Thanks: 23 given, 22 received


nikke View Post
I am not doing it for convenience, its not really for optimisation purposes. Can be more viewed as data-mining, based on these results I know at which symbols I should start looking at more in depth.

Scripting possibilities would solve it, was even thinking about adding the logic into the signals themselves somehow but that might be a bit too hard.

Ok I did think of some outlandish hacks but no idea if they will work without knowing more specifics. You might be able code it so there is different optimization variable for each symbol and the logic for choosing the variable is set in the strategy code. Still messy though

Another crazy idea is a windows keyboard and mouse macro to automate the repetitive task of optimizing each symbol on the chart

Reply With Quote
 
  #9 (permalink)
Trading Apprentice
grandiose
 
Futures Experience: Intermediate
Platform: Multicharts
 
Posts: 34 since Aug 2010
Thanks: 5 given, 6 received


BenosBanderos View Post
Ok I did think of some outlandish hacks but no idea if they will work without knowing more specifics. You might be able code it so there is different optimization variable for each symbol and the logic for choosing the variable is set in the strategy code. Still messy though

Another crazy idea is a windows keyboard and mouse macro to automate the repetitive task of optimizing each symbol on the chart

Tnx, I had something like these messy hacks in mind

For the time being I settled for this solution:
1. I modified the strategies a bit to be more generic.
2. Those parameters that didnt allow more generalisation i split up in 3 intervals.
3. I run these more general strategies in PBT as a backtest in a couple of batches, due to the parameter interval splitting.
4. Those symbols' results that look interesting I start to look at more in depth and analyze further.

PBT doesnt allow for BID/ASK testing etc. but this works as a crude acid test.
I feel quite satisfied with the solution and will use the approach in the future for similar problems.

But on the side I started also looking at other software platforms like openquant, Matlab etc.

Reply With Quote
 
  #10 (permalink)
Elite Member
near Paris, France
 
Futures Experience: Beginner
Platform: -
Favorite Futures: -
 
Nicolas11's Avatar
 
Posts: 1,070 since Aug 2011
Thanks: 2,232 given, 1,729 received


Hi,

If I understood correctly your problem...

A workaround I used in a previous life was the following.

In the strategy, add a line to print the results ("MessageLog" or equivalent), for instance under the following format:

Quoting 
Name of the instrument ; Parameter1 ; Parameter2 ; Result1 ; Result2

Then apply the Porfolio Backtester to the whole portfolio, with an optimization of Parameter1 and Parameter2 (with the option "all parameter values" [I do not remember the name] and not "genetic optimization").

Then do not take into account the results of the optimization in the Backtester, but import the content of the log (all the printed lines) into Excel, and analyze the data the way you want.

Nicolas

Reply With Quote

Reply



futures io > > > > Any way in MC to optimize on a list of instruments?

Thread Tools Search this Thread
Search this Thread:

Advanced Search



Upcoming Webinars and Events (4:30PM ET unless noted)

Jigsaw Trading: TBA

Elite only

FuturesTrader71: TBA

Elite only

NinjaTrader: TBA

Jan 18

RandBots: TBA

Jan 23

GFF Brokers & CME Group: Futures & Bitcoin

Elite only

Adam Grimes: TBA

Elite only

Ran Aroussi: TBA

Elite only
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
MC Traders dynamic index -> conveting to MC yiman MultiCharts 12 August 2nd, 2016 11:40 AM
Delete All Instruments in DEFAULT list 1973Hog NinjaTrader 5 December 15th, 2011 09:00 AM
How to Optimize a discretionary system AresBowman NinjaTrader 4 August 26th, 2011 06:14 AM
How to properly optimize an strategy? pakricard NinjaTrader Programming 3 April 3rd, 2011 06:41 PM
Optimize Chart Resolution Multicharts / Resolution as variable? Locust MultiCharts 2 September 30th, 2010 12:05 PM


All times are GMT -4. The time now is 03:14 PM.

Copyright © 2017 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts
Page generated 2017-12-14 in 0.14 seconds with 19 queries on phoenix via your IP 54.145.16.43