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Optimization settings

  #1 (permalink)
 bchip 
Torino, Italy
 
Experience: Advanced
Platform: TradeStation
Trading: ES,YM,CL,GC
Posts: 132 since Sep 2017
Thanks Given: 160
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Hi all

I'm struggling with something that should be really simple.
How do I change the date range of an optimization?

I go to Edit Strategy -> Customize and I change the input value to a range.
The option comes up to Optimize.
I click on "Advanced Settings" and change "Exlcude date before 2015 and after 2018" -> Ok
and run the test.

When the values were 2015-2018 and 2012-2015 the final optimization results were exactly the same.
I cant seem to find the range in the Optimization report either.

Am I doing something wrong?
All Im trying to do is limit the date range for my optimization.

Thank you

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  #2 (permalink)
 bchip 
Torino, Italy
 
Experience: Advanced
Platform: TradeStation
Trading: ES,YM,CL,GC
Posts: 132 since Sep 2017
Thanks Given: 160
Thanks Received: 116

Think I'm just going to try to export the data from TS and load into Ninjatrader

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  #3 (permalink)
 
vmodus's Avatar
 vmodus 
Somewhere, Delaware, USA
 
Experience: Intermediate
Platform: MultiCharts
Broker: Barchart.com
Trading: Everything, it all tastes like chicken
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bchip View Post
Hi all

I'm struggling with something that should be really simple.
How do I change the date range of an optimization?

I go to Edit Strategy -> Customize and I change the input value to a range.
The option comes up to Optimize.
I click on "Advanced Settings" and change "Exlcude date before 2015 and after 2018" -> Ok
and run the test.

When the values were 2015-2018 and 2012-2015 the final optimization results were exactly the same.
I cant seem to find the range in the Optimization report either.

Am I doing something wrong?
All Im trying to do is limit the date range for my optimization.

Thank you

We use date inputs in our EasyLanguage strategies and then apply conditions for our entries. Here is an oversimplified example:

 
Code
inputs:  
   StartTrade(1200301),
   EndTrade(1201231)
;

Condition98 = Date >= StartTrade and Date <= EndTrade;

// entry 
if condition98 and 
   {... other entry criteria ...}
   then 
      buy next bar at market  ;
If we optimize, let's say all of 2019, then StartTrade = 1190101 and EndTrade = 1191231.

Hint: Make sure to include slippage and commission before optimizations.

~vmodus

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  #4 (permalink)
 
vmodus's Avatar
 vmodus 
Somewhere, Delaware, USA
 
Experience: Intermediate
Platform: MultiCharts
Broker: Barchart.com
Trading: Everything, it all tastes like chicken
Posts: 1,271 since Feb 2017
Thanks Given: 2,958
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I thought of another way:
  • Go to Data > Edit Symbol
  • Enter First Date and Last Date
  • Optimize
  • Change your dates as necessary for your walk-forward, and repeat your optimization
This would eliminate the need for the date parameters, but we find the date inputs I described earlier easier to use.

There is a tool available for sale called StratOp WFP that makes the walk-forward process easier, but it has a steep learning curve. I do not have any financial interest in StratOp WFP. I bought and use the tool.


~vmodus

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  #5 (permalink)
 bchip 
Torino, Italy
 
Experience: Advanced
Platform: TradeStation
Trading: ES,YM,CL,GC
Posts: 132 since Sep 2017
Thanks Given: 160
Thanks Received: 116


vmodus View Post

This would eliminate the need for the date parameters, but we find the date inputs I described earlier easier to use.

There is a tool available for sale called StratOp WFP that makes the walk-forward process easier, but it has a steep learning curve. I do not have any financial interest in StratOp WFP. I bought and use the tool.


~vmodus

Thanks, your suggestion makes sense.

I did have a look at StratOp, just seemed like the last time it was updated was 2011.

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  #6 (permalink)
 
vmodus's Avatar
 vmodus 
Somewhere, Delaware, USA
 
Experience: Intermediate
Platform: MultiCharts
Broker: Barchart.com
Trading: Everything, it all tastes like chicken
Posts: 1,271 since Feb 2017
Thanks Given: 2,958
Thanks Received: 2,853


bchip View Post
Thanks, your suggestion makes sense.

I did have a look at StratOp, just seemed like the last time it was updated was 2011.

StratOp still works, but it is a little awkward and the documentation is lacking. We just started using it in February. It mainly helps in doing multiple walk-forwards.

~vmodus

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