Hello
I have quite specific problem. I need to optimize a parameter (delta - see
below) nested into my MM code. Unfortunately, I can't do it as formula is
inside CBT procedure and somehow Optimization engine doesn't "see" it stating
in Auto-Analisis window: "You haven't specified any variables for
optimization"...
How to procedee with optimization of parameter included only into CBT code? Or
how to refer in CBT formula to the parameter specified outside CBT (if this
issome solution)?
PS By the way - just to present "raw" MM forumula:
Position=0,5*{[1+8*(profit/delta)/n]^0,5+1}, where n = trades' number
And my CBT code:
SetCustomBacktestProc("");
if(Status("action")==actionPortfolio)
{
bo=GetBacktesterObject();
bo.PreProcess();
for(i=0;i<BarCount;i++)
{
for(sig=bo.GetFirstSignal(i);sig;sig=bo.GetNextSignal(i))
{
if(sig.IsEntry() AND sig.IsLong())
{
if(bo.Equity-a<=0)//a = initial capital//
position=1;
else
{
delta=Optimize("delta",500,500,10000,500);
position=0.5*((1+8*(bo.Equity-a)/delta)^0.5+1
sig.PosSize=pozycja;
}
}
bo.ProcessTradeSignals(i);
}
bo.PostProcess();
}
