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Purpose.
TSGenotic (TSGT) – is a genetic
optimizer of trading strategies parameters
for TradeStation technical analysis
program. This optimizer allows
optimizing of completed strategies
using genetic algorithms. TSGT can
be used for test optimization as well
as for periodic reoptimization of
the strategies trading futures, stocks
and any other asset available at Tradestation
on FOREX.
Interface description.
General program appearance is given
on picture 1.
1. Order number of iterance calculation
(individual’s number).
2. Value of individual optimization
criterion.
3. Profit value of individual.
4. Drawdown value of individual.
5. Value if individual parameters.
6. Already calculated individuals.
7. Individuals that yet to be calculated.
8. Window where all major optimizer’s
actions are output. It serves for
determining any mistakes in work and
control of optimization process.
9. “Sorted results” – by pressing
this button, a window pops up that
contains data sorted according to
optimization criterion.
10. 11. Pause and continue buttons
for optimization process. After pressing
a Pause Button, an actual pause of
optimization process will occur after
all calculating stations complete
current variant.
12. Option for logging optimization
results. Value of currently calculated
individual is added to TSGenoTic.log
file. If this file is missing, logging
won’t occur.
13. After hitting the “Save current
cursor row” button, the value of the
individual on selected line will be
added to TSGenoTic.log.
14. After enabling this option, there
will be an entry into current population
file at the end of each period. This
option is very useful for long-term
calculations or distributed cluster-based
calculations. In case of optimization
stop or interrupt, you can continue
the process by loading data about
the last calculated population. The
name of each file consists of a date,
time and population number and has
the following form: 14_05_07-10_45_40_p118
.ppl
15. You can load populations from
the file, saved with the help of option
14 by pressing “Load and optimization”
button. First, there will be loading
of the selected population and then
generating of the next one - after
that, calculation can be continued.
This option is only available in Multiple
mode.
16. Button to turn Multiple mode on.
17. Multiple mode window.
18. Order number of a current calculated
individual.
19.Number of individuals that have
been omitted as repeating ones.
20. 21. 22. Total estimated calculation
time, passed time and time that’s
left till the end of calculation.
23. Optimizer initialization button.
Work order.
After the optimizer is installed,
it is ready to be used.
Start TSGenotic.
Single Mode.
Add the strategy, prepared in TSGenoticEditor or manually to the requested
chart in TradeStation.
Open strategy parameters and set to
optimize a GTSteps parameter from
1 to any digit that equals product
of individuals in a population by
preset number of generations. For
example, for a population of 100 individuals
and 300 calculation generations, you
should set GTSteps optimization parameter
to be from 1 to 30,000. GTWork parameter
value should equal 0.
Start optimization by pressing “To
optimize” button in TradeStation.
Important! At this moment, the table in TSGenotic work window should
not contain any notes. If you want
to restart calculation, the table
should be empty. If the table is not
empty, restart TSGenotic, otherwise
calculation will either be incorrect
or won’t take place at all.
After optimization process is started, you can monitor calculated variants
in an optimizer table as they are
being calculated. Estimated optimization
time can be seen in Tradestation Window.
Optimization process will be reflected
in Window 8.
If you select options 12 and 14, relevant
data will be saved in log files.
After all individuals in the table
are calculated, next generation will
be generated. And so on, generation
after generation.
You can abort calculation by pressing
“Abort” button in TradeStation.
By selecting a number of desired individual
in GTSteps parameter from the first
column in the table and GTWork parameter
= 1, you’ll get strategy work results
in TS, where parameters will be written
in a line of a correspondent individual.
GTWork parameter is responsible for
the Optimizer functioning mode. If
GTWork equals 0, optimization is conducted,
if GTWork=1, there will be recalculation
of what’s already been calculated.
It is possible to continue optimization
by setting GTSteps parameter as a
number of the first individual that
has not been calculated yet. It is
an individual 11801 on pic.1 GTWork
parameter should equal 0.
Important! You can’t continue
optimization in a single mode if you
have already closed TSGenotic.
Multiple Mode.
This mode was created to achieve the most effective work of the genetic optimizer.
Paralleling process of calculation
on to any number of computers is also
possible in this mode. Method of ignoring
repeating individuals is also implemented
in this mode, which speeds up calculation
after it is through the first half
of the optimization process.
Preparation for work in this mode is the same as in Single Mode.
Start TSGenotic.
Press button 16 “Multiple Mode”.
Optimizer is ready to go.
Start TradeStation on a necessary
number of the computers. The strategy
in TSGenoticEditor should also be
prepared for this mode by turning
on the Multiple mode and setting the
IP address of the computer where the
Optimizer was started.
At each station, the same chart and
strategy parameters should be set.
Set optimization of GTSteps parameters
in a similar way as in Single Mode.
Start optimization by pressing “To
optimize” button in TS.
Start optimization at all the stations
gradually.
The order in which the stations are
turned on is not important. It is
possible to back out any stations
or add new ones during the calculation
process. Optimization in TSGenotic
will not be interrupted.
Important! As it is impossible to set GTSteps parameters correctly
on all participating stations, optimization
process will stop on its own when
the value of GTSteps parameter reaches
its maximum at all the stations. It
is not necessary to wait for it. When
the optimizer goes through necessary
number of generations, you can back
out all calculating stations by pressing
“Abort” button in TS. Number of the
epochs can be calculated by dividing
an individual number into the number
of individuals in a population.
Sorted work results can be viewed
by pressing button 9.
You can continue optimization the
same way. Herein, unlike in Single
Mode, it is not necessary to set GTSteps
optimization by inputting a number
of the first individual that has not
been calculated yet. It is possible
to input from 1 to a desired number.
If you’ve saved the population using
option 14, then you can continue optimization
even if you close TSGenotic.
Recalculation of the strategy according
to the best obtained variant is possible
using the same method as in Single
Mode by setting an individual number
in GTSteps and GTWork=1.
Continuation of optimization.
Start TSGenotic.
Press button 16 “Multiple Mode”.
Press button 15 “Load and optimization”
and load a file with the population
of the latest calculated epoch. The
optimizer will load the population
and generate next generation.
That is all. The optimizer is ready
for the continuation.
Then start TS and complete the actions
described above in a Multiple Mode
section.
Since number of generations for calculating
is an imputation and can be ignored
if needed, and optimization can be
continued, the time shown in boxes
20,21,22 may be calculated incorrectly.
Possible problems.
If the computer that is being used
for optimization in Single Mode, or
net, used for optimization in Multiple
Mode has a Firewall installed, it
can cause a situation whereat TradeStation
might not be able to connect with
the Optimizer. In this case, you should
contact your system administrator.
Optimizer uses TCP/IP protocol and
port number 16384.
If Optimizer stopped working correctly,
or doesn’t conduct strategy calculation
in full, check if you are using the
right name for logging in TradeStation
and if it is the same name, which
is registered at TSGT.
For optimization you should always use
the historic period, which doesn’t contain
last historic bar. TradeStation doesn’t
execute LastBarOnChart correctly for
the current bar. So, the Optimizer will
not work correctly either.
If TSGT doesn’t work, or works incorrectly,
you should check regional settings of
the operational system. In particular,
the decimal symbol. For correct optimizer’s
functioning, you should use a point
as the decimal symbol (“.”). |
TSGenotic. User manual
