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How to iterate the optimization report after performing the strategy optimization
Started: by regress2money Views / Replies:229 / 5
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How to iterate the optimization report after performing the strategy optimization

  #1 (permalink)
Trading Apprentice
china, shenzhen city
 
Futures Experience: Beginner
Platform: r/python/multicharts
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How to iterate the optimization report after performing the strategy optimization

Hi everyone,

after the optimization of strategy, MC will generate the optimization results
listing many parameter sets, but lacking corresponding equity curves.

Then I may have to iterate the optimization report to get the specific equity
curve. Do you guys have any idea/method that I am not aware of?

Thanks in advance.

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  #2 (permalink)
 Vendor: abctradinggroup.com 
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regress2money,

I am not sure what equity curves you are looking for, but the strategy performance report contains several.
When you are looking at a performance report the curves are located under the "Strategy Analysis" entry following "Time Analysis".
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Does this provide the curves you have been looking for?

Regards,

ABCTG

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  #3 (permalink)
Trading Apprentice
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ABCTG View Post
regress2money,

I am not sure what equity curves you are looking for, but the strategy performance report contains several.
When you are looking at a performance report the curves are located under the "Strategy Analysis" entry following "Time Analysis".
Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


Does this provide the curves you have been looking for?

Regards,

ABCTG

Hello ABCTG,

it's very happy to hear from you^_^. Thanks for your answer. Sorry for my
unclear expression in the last post.

Exactly, if applying/double-clicking some parameter set in the optimization
report, the "detailed equity curve" in the performance report of the strategy
would be the target. But optimization report does not provide that, as below

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I hope that, after optimization, I can automatically iterate the optimization
report to extract the equity curve of each parameter set, and output to a
file for further analysis.

For example, after the optimization, there are 100 solutions in the report. I
hope to find a way to automatically output each equity curve for the 100 solutions.


Thanks in advance.

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  #4 (permalink)
 Vendor: abctradinggroup.com 
Hamburg Germany
 
Futures Experience: Advanced
Platform: Multicharts, Tradestation, Multicharts.NET, NinjaTrader, MetaTrader
Broker/Data: DTN IQ
Favorite Futures: ES
 
Posts: 1,185 since Apr 2013
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regress2money,


I am afraid I am not aware of a method other than go through each performance report manually one by one for each parameter combination. You might be able to automate this with a macro tool to some extend, but even then it wouldn't be very convenient unfortunately.

It might be simpler to write strategy metrics to files during the optimization and then have Excel (or any other software) draw equity curves from that data.

Regards,

ABCTG

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  #5 (permalink)
Trading Apprentice
china, shenzhen city
 
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ABCTG View Post
regress2money,


I am afraid I am not aware of a method other than go through each performance report manually one by one for each parameter combination. You might be able to automate this with a macro tool to some extend, but even then it wouldn't be very convenient unfortunately.

It might be simpler to write strategy metrics to files during the optimization and then have Excel (or any other software) draw equity curves from that data.

Regards,

ABCTG

Hello ABCTG,

Thanks for you reply.

"write strategy metrics to files during the optimization" looks good, so could you
please expand your explanation in more details if convenient?

Thanks.

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  #6 (permalink)
 Vendor: abctradinggroup.com 
Hamburg Germany
 
Futures Experience: Advanced
Platform: Multicharts, Tradestation, Multicharts.NET, NinjaTrader, MetaTrader
Broker/Data: DTN IQ
Favorite Futures: ES
 
Posts: 1,185 since Apr 2013
Thanks: 198 given, 678 received

regress2money,

this would be something you'd have to code, but you have several reserved words that you can use to track performance metrics of a strategy bar by bar (or even tick by tick):

Category:Strategy Performance - MultiCharts
Category:Strategy Position Trades - MultiCharts

Using the Print command you can output these metrics to a file and have other software draw an equity curve (for example) out of this data.

By the way you can show your appreciation for a post on futures.io by clicking the "Thanks" button next to that post.

Regards,

ABCTG

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