Test different ranks .. easier

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Test different ranks .. easier

Postby Jaded » Tue Jul 12, 2011 2:38 am

Well... you are going to love this suggestion..

Could we have the ability to enter say.. 5+ different ranking criteria such as:
1. proc(10) [asc]
2. rsi(14) [desc]
3. wlr(14) [asc]
4. .....

And have the autosearch randomly pick one, and also test different rankings during optimization also?

Rank is very important in some systems, and it seems to be the only part that is not integrated like this into the automated search. I would like to know if other ranks perform better than the default ones I normally try.

Does this make sense?
Jaded
 
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Joined: Mon May 14, 2007 6:49 pm

Re: Test different ranks .. easier

Postby Overload » Tue Jul 12, 2011 9:00 am

That does make sense, and it is already on the list as it has been requested by a couple other users.

In the meantime, a technique I've used is to create a custom formula named something like MyRank(). Your Strategy, OneClick or AutoSearch can then reference MyRank() as the ranking formula, but you can quickly go into that Custom Formula, make changes, and easily rerun your results. This makes it pretty convenient to test a number of ranking formulas without needing to manually recode every strategy in the Multi-System. You can also reverse the ascending/descending with something like this:

MyRank = 99999999 - rsi(14);

It's true that you can't view the MyRank formula in your results, so you'll need to keep track on your own regarding which formula it contains. But it's still a helpful trick for testing a number of formulas one after the other.

Pete
Overload
 
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Joined: Wed Nov 30, 2005 12:14 pm

Re: Test different ranks .. easier

Postby Jaded » Tue Jul 12, 2011 11:21 am

Wow... thats exactly what I did yesterday, but supercharged a bit:

Code: Select all
rid = parameter("rankid");
sort = parameter("sort");
param1 = parameter("param1");// proc
param2 = parameter("param2");// wlr
param3 = parameter("param3");// dvb_dll days, moving dvb_dll days
param4 = parameter("param4");// moving dvb_dll smooth days
param5 = parameter("param5");// imi days

theRank = -999999;

while(theRank < -999998)
{
   theRank = if (rid = 1, Abs(Close-Open), theRank);
   theRank = if (rid = 2, proc(close, param1), theRank);
   theRank = if (rid = 3, wlr(param2), theRank);
   theRank = if (rid = 4, dvb_dll(param3), theRank);
   theRank = if (rid = 5, mov(dvb_dll(param3),param4,simple), theRank);
   theRank = if (rid = 6, imi(param5), theRank);
};

// does returning neg really reverse sort order? I guess
DynamicRank2 = if ( sort = 1, theRank, neg(theRank) );
Jaded
 
Posts: 151
Joined: Mon May 14, 2007 6:49 pm

Re: Test different ranks .. easier

Postby mandelmus » Sun Feb 12, 2012 6:36 am

+1 vote for this feature as well
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Joined: Fri Dec 23, 2011 1:51 pm

Re: Test different ranks .. easier

Postby Jaded » Thu Jan 10, 2013 9:13 pm

I'm testing this out again and it has become an issue for me. By using this as the primary trading rule, I am no longer able to use any other primary trading rules (since there can be only 1). Would it be simple enough to just let us choose how many primary trading rules are used, or allow us to select 1 as ALWAYS and the rest random that it would pick from, thus allowing 2 primary rules on the same strategy?

Thanks!
Jaded
 
Posts: 151
Joined: Mon May 14, 2007 6:49 pm

Re: Test different ranks .. easier

Postby Overload » Fri Jan 11, 2013 9:34 am

Actually there is another way where you don't need to implement this Rank test as a Primary Trading Rule. On the AutoSearch Setup, navigate to the Rank tab. You can then enter your Rank formula there, and select "Replace Primary Trading Rule Rank Settings if Present". Your search will then use that Rank formula regardless of what Primary Trading Rule you use.

Here's an additional tip on this. While you can't use the @value variables used in the regular Strategy or Trading Rule setups, there is an alternative built just for this. There is a formula named variable() that allows you to do the same thing. For example, your Rank setting on the AutoSearch Setup might be something like this:

proc(close, variable(5, 20, 1))

The above would allow you to use the proc() formula in the Rank, using any Primary Trading Rule, and randomly testing the days 5 to 20 at increments of 1 in the proc() days.

Pete
Overload
 
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Joined: Wed Nov 30, 2005 12:14 pm

Re: Test different ranks .. easier

Postby Jaded » Fri Jan 11, 2013 11:10 am

The system would still not perform optimization on the rank in that case, it would just always be random on each run, right? I'm looking for a way to basically test the rank just as you would any normal trading rule where it can run through optimization rounds, etc -- but still allow other primary rules to exist.
Jaded
 
Posts: 151
Joined: Mon May 14, 2007 6:49 pm

Re: Test different ranks .. easier

Postby Overload » Fri Jan 11, 2013 11:25 am

No, the entire variable() formula gets replaced in the created system with the value that is used on that run. So it is virtually identical to using the @value variables. Granted, you still need to use the trick mentioned earlier in this thread of placing different rank formulas in a Custom Formula. But by placing the Rank settings in the AutoSearch Setup, you can use the same rank settings against a variety of Primary Trading rules. And by using the variable() formula, you can test a variety of parameter sets.

Pete
Overload
 
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Re: Test different ranks .. easier

Postby Jaded » Fri Jan 11, 2013 9:41 pm

Ah.. that makes sense and I tested that. I'd still like to request the initial feature for adding autosearch-type processing to the ranks directly so they can be optimized. With this method, you get stuck with a rank for the strategy that doesn't have parameters optimized during optimization phase, which is what I am looking for. Right now it's all kind of random as far as I can tell.
Jaded
 
Posts: 151
Joined: Mon May 14, 2007 6:49 pm

Re: Test different ranks .. easier

Postby Overload » Sat Jan 12, 2013 10:11 am

Yes, the use of "trading rules" for rank is still on the list. My suggestions above were only to show what can be done now.

Pete
Overload
 
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