• Registered: 2022-08-11
  • Posts: 25

Re: Express Generator - Wish List

Mr Popov,

The Optimizer is great but, while initial generation of strategies, I love to use the normalizer and once I have a good set of starting strategies, then I use optimizer if needed. Using Optimizer upfront overfits a larger majority of strategy which get eliminated during robustness tests. This wastes a lot of time which could be better used to generate more strategies instead.

If possible the Normalizer tool in Express Generator would be a godsend. Thanks

  • Registered: 2022-08-11
  • Posts: 25

Re: Express Generator - Wish List

Also the Normalizer removes useless Indicators which also reduces the time required for Optimizing.

  • Popov
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Re: Express Generator - Wish List

> 1] The "min_profit" in acceptance criteria is NetProfit in EA Studio right, net of all spread, swaps and commissions?

Correct! The "min-profit" includes all swaps, spreads and commissions charged during the trading period.

> 2] What does "optimize_protections" mean in Optimizer,

When the "optimize_protections" option is enabled, the Optimizer optimizes the SL and the TP also.

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  • Registered: 2022-08-11
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Re: Express Generator - Wish List

Thanks for the quick reply.

  • Registered: 2023-11-26
  • Posts: 118

Re: Express Generator - Wish List

Mr. Popov would like to give you one. Idea
What do you think about putting a switch to optimize the indicators and another to optimize only the TP and stop

It would be very useful for strategy that comes out in the exit indicator to come out only in TP and sl

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Re: Express Generator - Wish List

> It would be very useful for strategy that comes out in the exit indicator to come out only in TP and sl

This is a good idea. I'll just continue working on the separating exit indicators settings and will latest it.
Probably, an option like "optimize_indicators = true" will do the job.

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  • Registered: 2022-08-11
  • Posts: 25

Re: Express Generator - Wish List

Mr Popov, while generating strategies, I'm getting a lot of useless strategies with average position length less than 10. This is even after taking transaction costs into account. If you could add the following setting to acceptance criteria of Express Generator, it would be very helpful:-

1] "min_average_position_length"
2] "max_average_position_length"

Thanks

  • Registered: 2023-11-26
  • Posts: 118

Re: Express Generator - Wish List

But these functions already exist in the definitions of TP and stop what may be happening and exactly what happens to me.. Even with TP and stop on, the robot always closes positions before touching them
But that's due to the express not It doesn't come out yet only on TP or stop

  • Registered: 2024-07-15
  • Posts: 2

Re: Express Generator - Wish List

Mr Popov, is it possible to filter or sort collection by the number of indicators used?

85 Reply by geektrader (edited by geektrader 2024-10-19 04:54:10)

  • From: Germany
  • Registered: 2010-04-05
  • Posts: 843

Re: Express Generator - Wish List

Hi Miroslav,

I'd love to propose adding two new variables:

"min_entry_slots"

and

"min_exit_slots"

The reason is that I've never had a profitable live strategy that used just one indicator for entry.

So, having Express Generator search for strategies with only one entry slot doesn't seem worthwhile and ends up wasting CPU time for my use case.

By introducing a "min_entry_slots" variable, we could prevent unnecessary CPU use. The same goes for the number of exit indicators with the "min_exit_slots" variable.

Default, both should of course be set to 1, so that everyone can decide if that is useful for their strategy development method or not.

Thanks for considering this,

Geek

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  • Registered: 2021-05-28
  • Posts: 124

Re: Express Generator - Wish List

Hi Miroslav, I think Multi Market Robustness test would be an excellent addition to express gen. Any chance of adding this at some point?

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Re: Express Generator - Wish List

> I think Multi Market Robustness test would be an excellent addition to express gen.

I designed Express Generator to load a single Data Set and optimize the calculations around it.

We do Multi-Market validation by running ExGen over different data sequentially.

Here is an example:

Let's have a collection named "generated.json".

Here is how I do Multi-Market validation:

node ./bin/fetch.js --server ServerA --symbol AAABBB --period M30
node ./bin/gen.js   --server ServerA --symbol AAABBB --period M30 \
        --input generated.json --output multimarket-a.json --output-replace true

node ./bin/fetch.js --server ServerB --symbol CCCDDD --period M30
node ./bin/gen.js   --server ServerB --symbol CCCDDD --period M30 \
        --input multimarket-a.json --output multimarket-b.json --output-replace true

node ./bin/fetch.js --server ServerC --symbol EEEFFF --period M30
node ./bin/gen.js   --server ServerC --symbol EEEFFF --period M30 \
        --input multimarket-b.json --output validated.json --output-replace true

We can use any combination of a server, a symbol and a period.
The output collection is "validated.json" in that example.


--output-replace true serves to preserve the output collection name (it adds (n) suffix without it if the collection already exists).

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  • Registered: 2023-04-28
  • Posts: 20

Re: Express Generator - Wish List

Hi Popov, I would like the ability to add the following requirement in the Monte Carlo Validation:

Filter out results that are below Return / DD of 2 at 95% Confidence level.

  • Popov
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Re: Express Generator - Wish List

> Filter out results that are below Return / DD of 2 at 95% Confidence level.

Is it different than:

;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;
;; Monte Carlo                      ;;
;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;

enable_monte_carlo            = true
count_of_tests                =  20
valid_tests_percent           =  95
mc_min_return_to_drawdown     =   2

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