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Wayne, NJ USA
Experience: Intermediate
Platform: Multicharts, Deltix DCS
Broker: Interactive Brokers/IQ Feed
Trading: ETF Options
Posts: 41 since Oct 2012
Thanks Given: 7
Thanks Received: 38
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I figured out how to output the optimal parameter values for each out of sample day without having to refer to the WFO report. The problem is when I try to use ADE (All Data Everywhere) to store that output. For some reason, it won't store data when I asked so I can't figured out where I went wrong. Any help or suggestion would be greatly appreciated.
Input: Length(50), NumDevs(2), Optimization(True);
Variables:
varNumDevs(2), varLength(50),
Class(GetStrategyName), InfoMap(MapSN.New);
if Optimization = True then
begin
varLength = Length;
varNumDevs = NumDevs;
if LastBarOnChart and BarNumber <= 13 then
begin
Value1 = MapSN.Put(InfoMap, "Length", Length);
Value1 = MapSN.Put(InfoMap, "NumDevs", NumDevs);
Value1 = ADE.PutBarInfo(Class, GetSymbolName, 390, ADE.BarID, InfoMap);
end;
end else
begin
varLength = MapSN.Get(InfoMap, "Length");
varNumDevs = MapSn.Get(InfoMap, "NumDevs");
Value1 = ADE.GetBarInfo(Class, GetSymbolName, 390, ADE.BarID, InfoMap);
end;
if MarketPosition = 0 then
begin
Buy next bar at BollingerBand(Close, varLength, - varNumDevs) Limit;
end;
if MarketPosition = 1 then
begin
Sell next bar at BollingerBand(Close, varLength, varNumDevs) Limit;
end;
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