Discussion of article "Using indicators for optimizing Expert Advisors in real time"
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New article Using indicators for optimizing Expert Advisors in real time has been published:
Efficiency of any trading robot depends on the correct selection of its parameters (optimization). However, parameters that are considered optimal for one time interval may not retain their effectiveness in another period of trading history. Besides, EAs showing profit during tests turn out to be loss-making in real time. The issue of continuous optimization comes to the fore here. When facing plenty of routine work, humans always look for ways to automate it. In this article, I propose a non-standard approach to solving this issue.
Of course, an indicator is by no means the strategy tester. So how can it help us in optimizing an EA? My idea is to implement the EA operation logic into an indicator and track the profitability of virtual deals in real time. When performing optimization in the strategy tester, we conduct a series of tests iterating over specified parameters. We will do the same by simultaneously launching several instances of a single indicator with different parameters similar to passes in the strategy tester. When making a decision, the EA surveys launched indicators and selects the best parameters for execution.
You may ask, why reinvent the wheel. Let's analyze pros and cons of this decision. Undoubtedly, the main advantage of this approach is the optimization of an EA in almost real time conditions. The second advantage is that a test is performed on real ticks of your broker. On the other hand, testing in real time has a huge drawback since you have to wait till statistical data is collected. Another advantage is that when moving in time, the tester indicator will not recalculate the entire history but only the current tick, while the strategy tester runs along the history from the very beginning. This approach provides faster optimization at the right moment. Therefore, we can carry out optimization on almost every bar.
Author: Dmitriy Gizlyk