idea for next releases: decay performace

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auato
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idea for next releases: decay performace

Postby auato » 12 Feb 2020

Hello, new really interesting features are coming with the new R14 but it seems to me that a decay performance tool is still missing. Please, let me know if I am wrong and if already solicited by other customers as I can imagine. You know how much difficult is to make a winning algorithm over time. Sometimes our algos are well synchronized with the market and other time, for months or years, unfortunately, they reveal to be completely losers. That's why I always thought a methodology to decide to turn off the algorithm when it looks like "out of synch" or to turn it on when it seems to be in a good shape. Currently I realized a simple decay performance tool by myself though a spreadsheet but I'd like to see it implemented in MC in the future. What I mean for "decay performance tool" is a simple set of methodologies to constantly check the equity line or the drawdown line or any other value spit out form the "Strategy Performance Report". In my case I replicated locally the equity line of my algorithm in a spreadsheet and applied a moving average line calculated on the equity line. I realized that if I turn off the algorithm when the equity line crosses below the moving average, the general performance improve much more. But I figure out a lot of rules easier or more complex (i.e. based on the number of consecutive winner/loosing trades, standard deviation and so on). I figure out to get this decay performance tool in the "Strategy Performance Report" to re-calculate the performance with and/or without the decay performance rule and finally, when confident, to apply it automatically in the real time world. What do you think?

wilkinsw
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Re: idea for next releases: decay performace

Postby wilkinsw » 13 Feb 2020

You can code it yourself already.

auato
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Re: idea for next releases: decay performace

Postby auato » 15 Feb 2020

Ops! I didn’t know. Where can I look for in the wiki/manuals?

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Anna MultiCharts
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Re: idea for next releases: decay performace

Postby Anna MultiCharts » 16 Mar 2020

Hello auato,

• To learn how to program please see our Wiki section for PowerLanguage articles:
http://www.multicharts.com/trading-soft ... erLanguage
• You can find useful information about coding on the Power Language at this web page under Additional information sources:
http://www.multicharts.com/trading-soft ... on_Sources
• Complete list of PowerLanguage Keywords can be found at this page under PowerLanguage Keyword Reference section:
http://www.multicharts.com/trading-soft ... /Main_Page
• Here is a good guide for getting started with programming on PowerLanguage https://drive.google.com/file/d/0B_aFLJ ... sp=sharing
• [FAQ] EasyLanguage / PowerLanguage http://www.multicharts.com/discussion/v ... =16&t=6929
• MultiCharts/EasyLanguage learning strategies
http://www.multicharts.com/discussion/v ... =1&t=11741
• Free tutorials: http://markplex.com/free-tutorials/

Also you could post this idea on the Project Management page so that other users could leave their suggestions for it as well:
http://www.multicharts.com/pm/


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