Техническое задание
I need to have an already coded EA, urgently optimised. Here is what most of the settings file (.set) looks like
learning_mode=false||false||0||true||N
learning_newarchive=false||false||0||true||N
init_bars=24||24||1||240||N
ALPHA_1=0.01610000||0.0005||0.0005||0.02||N
ALPHA_2=0.01610000||0.0005||0.0005||0.02||N
ALPHA_3=0.01610000||0.0005||0.0005||0.02||N
ALPHA_4=0.01610000||0.0005||0.0005||0.02||N
ALPHA_5=0.01610000||0.0005||0.0005||0.02||N
ALPHA_6=0.01610000||0.0005||0.0005||0.02||N
ALPHA_7=0.01610000||0.0005||0.0005||0.02||N
ALPHA_8=0.01610000||0.0005||0.0005||0.02||N
BETA=0.00145||0.00005||0.00005||0.16||Y
GAMMA=0.525||0.005||0.005||0.55||Y
DELTA=0.06230||0.00005||0.00005||0.16||Y
EPSILON_1=3.00000000||0.05||0.05||5.00||N
EPSILON_2=3.00000000||0.05||0.05||5.00||N
EPSILON_3=3.00000000||0.05||0.05||5.00||N
EPSILON_4=3.00000000||0.05||0.05||5.00||N
EPSILON_5=3.00000000||0.05||0.05||5.00||N
EPSILON_6=3.00000000||0.05||0.05||5.00||N
EPSILON_7=3.00000000||0.05||0.05||5.00||N
EPSILON_8=3.00000000||0.05||0.05||5.00||N
orders_limit=1||1||1||10||N
orders_expiry=1||1||1||10||N
interval=60||10||5||15||N
The only parameters I would like optimised are all the alphas, beta, gamma, delta, and all the epsilons. The rest I can figure out. (learning mode and new archive must be false)
I have suggested the above optimisation steps, but you could come up with something better. I would also like you to optimise for number of deals, recovery factor, and high average consecutive win loss ratio but again if you come up with settings that have a better walk forward efficiency than I will consider them.
The period of optimisation should start from 1st January 2001 and should end on 1st December 2011. I will leave the walk forward date up to you but it should at least be before January 2011.
The time frame to be used is 1 Hour and you can optimise with open prices only. I recommend leaving the interval setting at 60 such that the EA only runs once every hour but of-course you can try smaller timer intervals to determine what is most profitable.