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Improve Walk Forward Optimization of strategies created by random blocks

Currently when you select a strategy that has been created using Random Blocks, the selection of parameters to optimize has no effect, it will always try to configure the same set. The set can include parameters that are variables which have a static value applied to them as part of the strategy so optimizing these is just a waste of time.

Ideally you would be able to configure which parameters to optimize via an API or based on something such as the category of the of the random item. For example, if in the random block category 'NotToBeOptimised', don't include these parameters to be optimized.

Attached an example strategy, note the following attributes are being optimized and will have no effect:
  • entryStopLong
  • entryStopShort
  • Fract
  • NATR
  • NATR_Exit
  • POILong
  • POIShort
  • Swing_PT_Fract
  • Swing_SL_Fract
Being able to remove these will make the optimisation process a lot more efficient.


Attachments
WF Optimization - Strategy 646153.sqx
WF Optimization - Strategy 646153.sqx
(184.97 KiB)
  • Votes +4
  • Project StrategyQuant X
  • Type Feature
  • Status New
  • Priority Normal

History

NF
#1

giantj

26.03.2022 09:01

Task created

E
#2

Emmanuel

26.03.2022 14:29
Voted for this task.
Cc
#3

Cyber

12.06.2022 04:05
Voted for this task.
b
#4

bentra

13.06.2022 02:35
Voted for this task.
JJ
#5

jjsb41

13.06.2022 04:58
Voted for this task.
MF
#6

Mark Fric

22.06.2022 14:44
how do you mean it exactly?
you wrote: Currently when you select a strategy that has been created using Random Blocks, the selection of parameters to optimize has no effect, it will always try to configure the same set.

are you optimizing it in Cross check, or in normal Optimizer module?

In Optimizer you see which parameters are picked in the UI, and you can uncheck the ones you don't want to optimize


Cc
#7

Cyber

22.06.2022 14:50

Attachment image-0.png added

image-0.png
image-0.png
(101.81 KiB)
@Mark - As discussed over the Discord, the behaviour should be similar to when you select a single strategy and then Manual button below.

Cc
#8

Cyber

22.06.2022 15:00
@Mark Regarding your proposal to "add for example a text area, where you'd write the names of parameters that should never be optimized. If this name is found in strategy, it will be skipped".


I think it should be the other way around. Enter the list of parameters that should be included. Maybe give us an option to select exclude or include. If we select include, all parameters entered on the textarea will be optimized. 


btw, it should be both on Optimizer and Cross Check

Cc
#9

Cyber

22.06.2022 15:04
"are you optimizing it in Cross check, or in normal Optimizer module?

In Optimizer you see which parameters are picked in the UI, and you can uncheck the ones you don't want to optimize"


@Mark - If I add an Optimizer on a custom project and select all strategies from a databank, the only option is Automatic. It should allow us to select Manual and select which parameters to optimized.

Votes: +4

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