Hi,

I would like to do periodic adjustments to my strategy parameters via interim optimizations which will be embedded into the code. That way, i would like to revise and change the parameter set periodically over the analysis period.

Specifically, I am trying to code an algorithm as follows:

At bar 0:
the code optimizes the strategy parameters of one indicator at t0 using bars between -500 to 0;

Between bar 0 --> 500:
the code trades this indicator at current (optimized) param setup;

At bar 500:
THE CODE OPTIMIZES THIS INDICATOR, AGAIN, USING LAST 500 bars (i.e using the bars 0 to 500);

Bar 500 --> 1000:
the code continues to trade this indicator, now with newer set of parameters;

Bar 1000:
a new optimization session, and the parameters are revized once again; (using the data from 500 to 1000);

Bar 1000 > 1500:
trading goes on given new set of strategy parameters;
...
...
until the last bar.


**

Is there any example code, or a wiki link, or another customer ticket, that I can refer to in order to code this type of trading algorithm?

Given that there is walk-forward-optimization property of the platform, I believe there are classes, methods, properties and all sort of components to embed optimization sessions into the strategy code.

That way, i aim at reaching a sort of 'optimize-on-the-fly' kind of algorithms.

**

And as usual, thanks, again, for your consideration.

Aykut

Hmm, duplicate post.

Automating Genetic Optimization?

So, I'll ask too, what's the point of embedding code for Walk-Forward Optimization when you can accomplish what you want to do with the Walk-Forward Optimizer?