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data series (timeframe) optimization


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data series (timeframe) optimization

  #1 (permalink)
Perugia/italy
 
 
Posts: 2 since Nov 2013
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data series (timeframe) optimization

Hi,
I've recently moved from Ninja to Trade Station mainly because of the Walk Forward Optimizer. Is there a way to optimise the time frame in Tradestaion? It was possible in Ninja with the option "Optimize Data Series" but I am not able to find anything similar in TS.

thanks

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  #2 (permalink)
Seattle
 
Experience: Intermediate
Platform: MultiCharts 10
Broker: InteractiveBrokers, IQFeed
Trading: ES
 
Posts: 56 since Nov 2015
Thanks: 19 given, 2 received

Any update on this, anyone have a suggestion?

I'm thinking an array but not sure how it might look.

GuppyDRV

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  #3 (permalink)
North Carolina
 
Experience: Beginner
Platform: NinjaTrader, Tradestation
Trading: es
 
Posts: 644 since Nov 2011


You would add the series on the same chart. You would need to also change a multiplier for calculation of lookbacks. The other option would be to just load several charts or you could analyze the series for spectral or other qualities you wanted beforehand and not include in the optimization process. If you could created a variable and switched the data series it might be possible, something like this but it probably won't work as-is:


 
Code
variables: timeSeries(0), frequency(1); //optimize 0..3

if timeseries=0 then dataSeries = close of data2;
if timeseries=1 then dataSeries = close of data3;
if timeseries=2 then dataSeries = close of data4;
if timeseries=3 then dataSeries = close of data5;


if timeseries=0 then frequency = 1;
if timeseries=1 then frequency = 1*5;
if timeseries=2 then frequency = 1*10;
if timeseries=3 then frequency = 1*15;

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  #4 (permalink)
Seattle
 
Experience: Intermediate
Platform: MultiCharts 10
Broker: InteractiveBrokers, IQFeed
Trading: ES
 
Posts: 56 since Nov 2015
Thanks: 19 given, 2 received

I'm thinking same sort of thing. I tried setting up Vars: no luck so I thought maybe an array. Not sure how the frequency plays in I'll have to think on that some.

I'll post my idea code when I hit my computer I'm on the iPad now.

GuppyDRV

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  #5 (permalink)
Hamburg Germany
 
Experience: Advanced
Platform: Multicharts, Tradestation
Broker: DTN IQ
Trading: ES
 
Posts: 2,178 since Apr 2013
Thanks: 384 given, 1,411 received

GuppyDRV,

it might be possible using the Optimization API, by using price series providers or ADE (All Data Everywhere), too. At least this seems worth exploring.
However these solutions are not out of the box and will all require coding and changes to your strategy or in case of the Optimization API separate code
that handles the task.

Regards,

ABCTG


Last edited by ABCTG; January 30th, 2017 at 03:20 AM.
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  #6 (permalink)
Seattle
 
Experience: Intermediate
Platform: MultiCharts 10
Broker: InteractiveBrokers, IQFeed
Trading: ES
 
Posts: 56 since Nov 2015
Thanks: 19 given, 2 received

I have not thought of the API and would need to learn more about it as I have know experience in that regard.

I was thinking............... maybe I'm over thinking this and set up the following code. It compiles and works but I'm not sure yet if the output is actually what I'm looking for.


So.......................I just set up some inputs and initialized the Var as an Integer plugging the input into the formula. I set up the instruments on the chart with 1-7 as the series with each set to a new time period 1-6 minutes. The input will only reference the instrument number so you have to keep that in mind.

1...................1 Minute
2...................2 Minute
3...................3 Minute
Etc.........

So what do you think am I getting a simple solution to optimize on data series?

Inputs:
LongSideET (10),
ShortSideET (10),
DatSerEnt (1); //So this is the input for data series

Vars:
LTradeET (0),
STradeET (0),
timeFilter (false);

LTradeET = //PLace Moving Av here(close data (DatSerEnt), LongSideET);
STradeET = //Place Moving Av here(close data (DatSerEnt), ShortSideET);
timeFilter = time >= 0830 and time < 1500;

If (timeFilter) Then Begin
if marketposition = 0 then begin

//Enter Strategy code here

GuppyDRV


Last edited by GuppyDRV; January 30th, 2017 at 10:29 PM. Reason: Had an Extra Var I forgot to remove
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  #7 (permalink)
Seattle
 
Experience: Intermediate
Platform: MultiCharts 10
Broker: InteractiveBrokers, IQFeed
Trading: ES
 
Posts: 56 since Nov 2015
Thanks: 19 given, 2 received

So its doing something I'm just not yet sure what?

GuppyDRV

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  #8 (permalink)
Hamburg Germany
 
Experience: Advanced
Platform: Multicharts, Tradestation
Broker: DTN IQ
Trading: ES
 
Posts: 2,178 since Apr 2013
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GuppyDRV,

keep in mind that the results you get with your approach are based on your computations executed on the Data1 interval, too. Having said that the results would be different comparing them to a strategy that you just run on Data1 and change the interval for that data stream manually - unless you make sure that you only execute your code at the end of each interval you are currently "optimizing".

I would suggest to use different variables for each datastream and tie them to the respective datastream, too. Then you'll likely have to debug your code and check if the values your signals uses with your code are actually the ones that you have in mind.

Regards,

ABCTG

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  #9 (permalink)
North Carolina
 
Experience: Beginner
Platform: NinjaTrader, Tradestation
Trading: es
 
Posts: 644 since Nov 2011

What about using Portfolio Maestro for this? It might be an option.

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  #10 (permalink)
Seattle
 
Experience: Intermediate
Platform: MultiCharts 10
Broker: InteractiveBrokers, IQFeed
Trading: ES
 
Posts: 56 since Nov 2015
Thanks: 19 given, 2 received


@tpredictor
@ABCTG

ABCTG, I think you're spot on! I'm getting fills but they are not on the DataSeries I have iterated on. They might be filling on the one minute chart but have not verified that.

Tpredictor, I have tried setting up the Vars as suggested but am not having any luck. My skills aren't there yet. I originally thought an array but I keep getting stuck on the same issue of how do populate the actual close data of each bar for each data(n).

ABCTG, I think I get where you're going and appreciated the analysis. Do you have a resource or reference to an easy language source that would teach me how to achieve what your suggesting? Only one way to learn, ask the questions then do the work!

GuppyDRV

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