Translated Self-Tune Strategies?

tradercn

#1

2/21/2014 4:41 PM

I am very interested in Self Tune strategies, especially Self Tune Trend Signal - Anti WhipSaw +ROC + Expectancy V12 ( ST TS V12), while it can not be used after translated. It is very complicated, do you have it on WLD v6? tx.

Eugene

#2

2/22/2014 1:30 AM

ST scripts can not be properly translated because of their dependency on Equity series (which is not available) and/or ClearPositions (which functions following a logic of its own in WL.NET).

I'm no expert on ST scripts but IMHO you can reach the same purpose by simply using the Walk-Forward Optimizer (which wasn't available in WL4).

tradercn

#3

2/22/2014 10:53 AM

Sorry, but I don't understand what you mean. What is IMHO please? Is there any solution for me to apply the above strategy on WLD v6? Thanks.

Eugene

#4

2/22/2014 11:37 AM

The idea of self-tuning systems is to adjust their internal parameters in order to best fit some function like the maximization of equity or other performance metric. Walk-Forward Optimization solves a similar problem by repeatedly finding a set of optimum parameters with regard to an optimization metric (any one from Scorecards installed in Wealth-Lab) in the in-sample testing and applying them to the out-of-sample data.

The proposed workaround for you is to code the system's core rules (except all the ST stuff) and use the WFO Optimizer.

tradercn

#5

2/22/2014 1:23 PM

That is out of my expectation. It is too complicated. I have to give it up. Thanks any way.

Eugene

#6

2/22/2014 3:02 PM

The system's core rules are pretty simple. It's a combination of daily/weekly MACD:

CODE:
Please log in to see this code.

As can be seen, the Daily/Weekly MACD block can be shortened by using SetScale* with the built-in MACD series.

It's the Self Tuning logic that really makes the script complicated. What I'm proposing is to consider the WFO a viable replacement for ST.

Size:

Color:

The system's core rules are pretty simple. It's a combination of daily/weekly MACD:

[code]
// DAY MACD ----------------------------------------
for Bar := StartBarArray[System] to BarCount () - 1 do
    SetSeriesValue ( Bar, DayMacd, ( EMA( Bar, #close, P2) - EMA( Bar, #close, P3 )) / EMA( Bar, #close, P2 ) );

for Bar := StartBarArray[System] to BarCount () - 1 do
    SetSeriesValue ( Bar, DayMacdHist, (( EMA( Bar, #close, P2) - EMA( Bar, #close, P3 )) / EMA( Bar, #close, P2 )) - EMA(Bar, DayMacd, P1 )) ;

DayMacdEma := EMASeries( DayMacd, P1) ;

// WEEK MACD ---------------------------------------
for Bar := StartBarArray[System] to BarCount - 1 do
begin
      SetSeriesValue ( bar , WeekMACD , ( EMA( bar, #close, P2*WeekPeriod) - EMA( bar, #close, P3*WeekPeriod )) / EMA( bar , #close, P2*WeekPeriod ) );
end;

for Bar := StartBarArray[System] to BarCount - 1 do
begin
    SetSeriesValue( bar, WeekMACDHist, (( EMA( bar , #close, P2*WeekPeriod) - EMA( bar, #close, P3*WeekPeriod )) / EMA( bar, #close, P2*WeekPeriod )) - EMA(bar, WeekMACD, P1*WeekPeriod )) ;
end;

WeekMacdEma := EMASeries( WeekMACD, P1);

....

// LOCAL SELL ----------------------------------------------------
if LastPositionActive Then
Begin
        if ( DayMacd_Bar <= DayMacdEma_Bar )
         and (WeekMacd_Bar <= WeekMacdEma_Bar )
           then
                   SellAtMarket( Bar + 1, LastPosition, 'TrendSignal' );
End;

// LOCAL BUY ------------------------------------------------------

if not LastPositionActive
then
begin

...     if ( DayMacd_Bar > DayMacdEma_Bar )
     and (WeekMacd_Bar > WeekMacdEma_Bar )
     and (WeekMacd_Bar > WeekMacd_OldBar ) // use to reduce whipsaw
     then
        BuyAtMarket( Bar + 1, 'Trend Signal' );
end;
[/code]

As can be seen, the Daily/Weekly MACD block can be shortened by using SetScale* with the built-in MACD series.

It's the Self Tuning logic that really makes the script complicated. What I'm proposing is to consider the WFO a viable replacement for ST.

tradercn

#7

2/23/2014 7:29 PM

thanks for your help. Do you have any information for these strategies? I will try to go deeper.

Eugene

#8

2/24/2014 1:55 AM

I'm sure it will be possible to find more information on ST scripts by browsing through the old forums and published chartscripts on the WL4 website (while it lasts):

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