Observations and workarounds for Genetic Optimizations..

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KhaosTrader
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Observations and workarounds for Genetic Optimizations..

Postby KhaosTrader » 20 Sep 2012

Hi,

Been doing a lot of work with Genetic Algo Optimizations.. here is a little story of my experiences thus far...

I wrote a decent strategy, and I did an optimization for it, and it looks great. The given strategy offered a buy at market to go long and a sell at market to go short. There were no limits on my order entries.

Then i decided to put limits on my order entries, and wow, what a difference. I then realized that each bar was painted at the close, since i was using 10 min bars, i was missing the "window" of the floor (my buy / sell market trigger) and the ceiling (the limit)..

So what to do? Well, I went to the trusty bar magnifier, and then it helped, but not enough, after all if you are trading aapl, with a market limit order, that stock can really move in 60 seconds... so what to do?

I tried to use tick data. Well, even though I construct my bars using tick data for up to 3 months of back data (this is available from IQFeed, but it will fetch like 1 week of data during market hours, but 3 months of tick data outside of market hours). But sadly, tick data didnt seem to show any results on my backtest even though i am using 10 minute bars constructed from tick data... Question to Multicharts --> how can i use tick data for backtest on a strategy that uses 10 minute bars?

I then decided what I would do is put a "switch" in my code that would be set with a true/false parameter. What i would do is make the strategy use buy or sell market for the position entry with no limit order. I use that to train. But for real trading i set the "switch" parameter to place limit orders for market entry.

I feel that the only way to get a realistic optimization or backtest would be to use tick resolution on my 10 minute bars, but sadly I cannot find a way to do this. Therefore the second best way is to train with your strategy use straight market orders, and when you deploy it you use market limit orders...

** Often when people do a backtest or optimize the strategy looks GREAT, but in real life, it doesnt work so great. I think the reasons for this are outlined above. If you want realistic you must use tick data.

Anyway, thoughts anyone?

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Dave Masalov
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Re: Observations and workarounds for Genetic Optimizations..

Postby Dave Masalov » 20 Sep 2012

But sadly, tick data didnt seem to show any results on my backtest even though i am using 10 minute bars constructed from tick data... Question to Multicharts --> how can i use tick data for backtest on a strategy that uses 10 minute bars?


Hello KhaosTrader,

Could you be more precise? What do you mean by "didnt seem to show any results"? You may want to use data2 = 1 tick in your code.

KhaosTrader
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Re: Observations and workarounds for Genetic Optimizations..

Postby KhaosTrader » 20 Sep 2012

right now i use data1 of 10 min and data2 as 1 hour. Should i add another data3 with 1 tick and make it invisible? will that cause the backtester to "read" tick datapoints in the chart?

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Re: Observations and workarounds for Genetic Optimizations..

Postby ABC » 20 Sep 2012

Did you set the Bar Magnifier resolution to 1 tick?
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Re: Observations and workarounds for Genetic Optimizations..

Postby KhaosTrader » 20 Sep 2012

I did set the bar magnifier to 1 tick when i have 2 timeframes on the chart, 1 hour and 10 mins. and i get no entries or exits on backtesting... if i put bar magnifier to 1 min, i get entries and exits in the backtest.

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Re: Observations and workarounds for Genetic Optimizations..

Postby KhaosTrader » 20 Sep 2012

Hi,

Ok I put a 3rd Instrument, which holds tick data for the stock. That means the strategy uses 10 min bars, and 1 hour bars, and I then just stuck in 500 tick bars (which the strategy doesnt explicitly use). I decided to run an optimization of only a few parameters. The result was a total of 6816 simulations that needed to be tested by the GA. I have 90 days of data that it is going through. The estimated time of completion on my computer is 20:55:07. Thats almost a full day for under 7000 simulations.

Is there a way to make optimizations faster? I set the magnifier to 1 tick. perhaps I should increase that? What do you recommend?

Am I doing this correctly?

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Dave Masalov
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Re: Observations and workarounds for Genetic Optimizations..

Postby Dave Masalov » 21 Sep 2012

Hello KhaosTrader,

7000 simulations mean that MultiCharts will backtest the code 7000 times with different parameters. To speed up the optimization you can:

- Increase Bar Magnifier parameter (i.e. to 100 ticks);
- Decrease the data reange;
- Decrease number of simulations;
- Try to disable anti-virus software if you have any.
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Re: Observations and workarounds for Genetic Optimizations..

Postby signalworks » 12 Oct 2015

Hello Dave,

I discovered, that the count of generations and population is different from time to time (after a few optimizations or after restart of MC) with the same parameters and settings. What is the reason?

Thanks.

best regards,
Lutz
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