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I would like to optimize a single system on a single chart, look at the
results, then re-run the optimizer with new parameter settings, based on
the system's performance on the prior range of parameter settings. This
would be a form of directed hill-climbing process and would entail the
followng sequence:
set optimizer parameters
run optimizer
save results table to a text file
analyze file with homebrew code (in C, VB, etc.)
determine new parameters settings
repeat process until some condition is met
Can homebrew code be integrated with TS Trades to achieve the above? Or is
something totally different required?
- Mark Jurik
-----Original Message-----
From: Jim McConnon [SMTP:Jmcconno@xxxxxxxxxxxxx]
Sent: Saturday, January 09, 1999 5:56 AM
To: fritz@xxxxxxxx; omega-list@xxxxxxxxxx
Subject: Re: Automate optimization runs?
I had the same problem for years. I have reposted some of my old comments
on a program called TSTrades. It works and solves most of the problem.
$280 and worth it. It is in it's final release form.
Jim
REPOST
ATTENTION SHOPPERS:
I have used this software for the last 2 months as a beta user.
I have been doing some system development that requires optimizing many
markets across several models.
The old TS way would be to optimize each market one at a time and save each
set of results by copying the results and pasting to excel or printing. As
you know, this requires baby-sitting the software waiting for each market
run to complete, saving the results, and then to start it on another. VERY
TEDIOUS .
TS Trades acts like a shell or macro that sits on top of Tradestation. You
instruct it on which data you want to analyze, which models you want to
run,
and which parameters you want to optimize. You hit "run" and can walk away.
Watching the screen you see TS Trades execute the same keystrokes you would
if you were doing it yourself--like a macro. Results for all are saved. It
has capability to combine results into a single equity curve. I have not
used that.
I find this an invaluable tool in my research arsenal. It allows one to
easily evaluate multiple models across multiple markets. If you do that
type of research, I strongly recommend it. I suggested this to Bill Cruz
years ago. I am still shocked that Omega has not added this capability. I
remember fondly being able to optimize many markets in a single batch in
System Writer!
Usual disclaimer--no affiliation or incentive to promote.
Jim
Jim McConnon
jmcconno@xxxxxxxxxxxxx
>
>TSTrades can also generate a portfolio equity curve for any combination
>of systems and charts. For more details of TSTrades please see:
>http://www.ozemail.com.au/~qtrade/tstrades.html
>
>We welcome all responses and queries.
>
>Regards
>
>Michael Harries
>Quality Trading Innovations Pty Ltd
>qtrade@xxxxxxxxxxxxxx
-----Original Message-----
From: Gary Fritz <fritz@xxxxxxxx>
To: omega-list@xxxxxxxxxx <omega-list@xxxxxxxxxx>
Date: Friday, January 08, 1999 11:52 PM
Subject: Automate optimization runs?
I'm afraid I already know the answer to this, but...
Is there any way to automate optimization runs in TS4? I want to
test a system over a broad range of data, and that requires changing
the date &etc before each run. Doing that by hand is painfully slow
and error-prone.
As far as I know TS doesn't support this. I'd like to have some way
to "drive" TS from another process so I could set up a series of
optimization runs and let it run overnight. Does anyone know of a
way to do this?
A while back someone (sorry, forgot his name) posted an Excel macro
that lets you change the SYMBOL in a chart and thereby cause the
system to be run again on the new system. If I have to, I may try to
modify this tool to change data dates, modify system parameters, and
set up new optimization runs. I can do all that via typing and
keyboard shortcuts. (The Excel macro uses the SendKeys statement to
"type" into the TS window.) I haven't used VBA but I can figure it
out if I have to. But even if I get it to run the system, I don't
see how I can save out the optimization reports from each run, since
that requires mouse clicks on the "Copy" or "Save to File" icons on
the optimization report, and SendKey doesn't do mouse clicks... Is
there any other way to save the optimization results?
If someone has a better solution, I'd love to hear it!
Thanks!
Gary
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