mardi 1 septembre 2015

Strategy Optimizer

Hi:


function ExtUpdate(id, source, period) -- source is a tick stream

if (source:date(period)<os.time{year=2015, month=08, day=25, hour=20}) then
return;
end
if (source:date(period)>os.time{year=2015, month=08, day=26, hour=08}) then
return;
end
...........
strategy code here
end


Trying to optimize a strategy
........ FROM 2015 Aug. 25 20:00 o`clock
........ TO 2015 Aug. 26 08:00 o`clock

The above code does NOT work. The optimizer runs but finds ZERO trades.

The optimizer runs fine with only data between specified DAYS.
(without the above additional code to fine tune data to the HOUR)
........ FROM year:month:day
........ TO year:month:day

What is the correct way to achieve what I want?
i.e. optimize between:
........ FROM year:month:day:hour
........ TO year:month:day:hour

Best regards,


Aucun commentaire:

Enregistrer un commentaire