Money Management Variables/optimization

Money Management Variables/optimization

F Mazandarany
2011-01-12 11:20:08

How does one introduce variables and their optimization in MM scripts. I want to optimize variables "b", and "c" (lines 3 and 4) in the script below. I tried using the optimize function under strategy, it did not work.

string symbolLong = "spy";
string symbolShort = "^GSPC";
string rule1 = "a = close > sma(200)*b;";
string rule2 = "a = close < sma(200)*c;";
TimeSeries buy = Data.ParseFormula(rule1).GetTimeSeries(symbolLong, "a");
TimeSeries sell = Data.ParseFormula(rule2).GetTimeSeries(symbolLong, "a");

if(buy[0] > 0)
{
if(!Portfolio.IsInPortfolio(symbolLong, true))
{
Functions.CloseAllPositions(0);
Portfolio.UpdateCategorySettings("short", 0, 1, null);
Portfolio.UpdateCategorySettings("long", 100, 1, null);
Functions.AddLongPosition(symbolLong, null);
}
}
else if(sell[0] > 0)
{
if(!Portfolio.IsInPortfolio(symbolShort, false))
{
Functions.CloseAllPositions(0);
Portfolio.UpdateCategorySettings("long", 0, 1, null);
Portfolio.UpdateCategorySettings("short", 100, 1, null);

Functions.AddShortPosition(symbolShort, null);
}
}
if(Variables.IsVariableExists("equity"))
{
double equity = (double)Variables.GetVariable("equity");
double roc = Math.Round(((Portfolio.Equity / equity) - 1) * 100, 4);
string text = Divers.CurrentDate.ToString() + (char)Keys.Tab + roc;
Variables.SetVariable("output", Variables.GetVariable("output") + Environment.NewLine + text);
}
else
{
Variables.SetVariable("output", "");
}

Variables.SetVariable("equity", Portfolio.Equity);

QuantShare
2011-01-13 04:21:23

- You have to create a new optimizable variable in the "OnStartSimulation" event:

Optimize.OptimizeDouble("b", 1, 10, 1);

Or you can create an input and then optimize this variable in the main Simulator form:

Functions.SetNumericInput("b", 1, "Variable B");

- Then you can get the variable "b" in the "OnEndPeriod" event using the "Variables" class:

double b = (double)Variables.GetVariable("b");

- After that replace the line:
string rule1 = "a = close > sma(200)*b;";
BY
string rule1 = "a = close > sma(200)*" + b + ";";

F Mazandarany
2011-01-13 14:02:14

Thanks! This was very helpful. I used the the optimize function in the "OnStartSimulation" event successfully. I was not able to get the Input Variable approach to work.This is what I did;
1. Created input variable "b" in "OnStartSimulation" event: Functions.SetNumericInput("b", 1, "Variable B");
2. called variable "b" in "OnEndPeriod" event: double b = (double)Variables.GetVariable("b");
3 Changed rule1 to: string rule1 = "a = close > sma(200)*" + b + ";";
4. Added: "optimize("b",1,1.05,0.005);" to the Strategy tab in the main Simulator form

When I run the optimization, I see the variable "b' change as expected from 1 to 1,.05 in 0.005 increments, but the output/performance remains unchanged; the MM script does not get excersized. What did I do wrong?

QuantShare
2011-01-14 05:21:05

Try to change "b" by -> b.ToString().Replace(",", ".")

F Mazandarany
2011-01-14 11:38:26

Thanks. This did not solve the problem.

QuantShare
2011-01-15 04:54:23

Best Answer

Use "Divers.Output" function to check that the value of the "rule1" variable is correctly updated.

Maybe values between 1 and 1.05 generate the same signals for this rule.
Try to increase it to 1.2 or more.

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