Create and Test Forex Strategies
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eas-guide:normalizer [2019/09/27 06:38] – [Normalizer] Miroslav Popov | eas-guide:normalizer [2021/01/08 11:06] – Ilan Vardy | ||
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====== Normalizer ====== | ====== Normalizer ====== | ||
- | The Strategy Normalizer tries to make a strategy tidier and at the same time, it is capable | + | The Strategy Normalizer tries to make a strategy tidier and at the same time, it is capable |
- | We think a strategy is better when it has a lower number of components and when their indicators have more meaningful parameters. | + | We believe |
===== Base Functionality ===== | ===== Base Functionality ===== | ||
* **Remove Take Profit** - checks if strategy becomes better without Take Profit. | * **Remove Take Profit** - checks if strategy becomes better without Take Profit. | ||
- | * **Remove needless indicators** - some indicators do not contribute to the performance. The Normalizer tries to remove them to make teh strategy faster and to prevent curve-fitting. | + | * **Remove needless indicators** - some indicators do not contribute to the performance. The Normalizer tries to remove them to make the strategy faster and to prevent curve-fitting. |
* **Reduce Stop Loss** - the lower SL reduces the maximal loss of a position and can improve the Risk / Reward ratio. | * **Reduce Stop Loss** - the lower SL reduces the maximal loss of a position and can improve the Risk / Reward ratio. | ||
- | * **Reduce | + | * **Reduce |
- | * **Normalize indicator parameters** - the authors of the technical indicators have spent a long time researching and testing their indicators. | + | * **Normalize indicator parameters** - the authors of the technical indicators have spent a long time researching and testing their indicators. |
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The first function of the Normalizer is " | The first function of the Normalizer is " | ||
- | Imagine a strategy on EURUSD that has Take Profit of 10 000 pips. It is very unlikely | + | Imagine a strategy on EURUSD that has Take Profit of 10 000 pips. It is very unlikely |
- | - Make a modification step. In that case, the Normalizer will disable the Take Profit. | + | - Make a modification step. In this case, the Normalizer will disable the Take Profit. |
- Backtest the strategy. | - Backtest the strategy. | ||
- Validate the strategy against the Common Acceptance Criteria (if the option is on). | - Validate the strategy against the Common Acceptance Criteria (if the option is on). | ||
- Calculate strategy fitness according to the " | - Calculate strategy fitness according to the " | ||
- | - If the strategy is valid and if its fitness is same or better than the original one, it accepts the modification. The normalizer restores the previous strategy in other cases. | + | - If the strategy is valid and if its fitness is the same or better than the original one, it accepts the modification. The normalizer restores the previous strategy in other cases. |
- Continue to step 1 or exit. (Remove the Take Profit has only one step, so exit) | - Continue to step 1 or exit. (Remove the Take Profit has only one step, so exit) | ||