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Using Strategy Wizard with Intraday data
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ThomasHelget
Posted 7/21/2012 1:12 AM (#3766)
Subject: Using Strategy Wizard with Intraday data



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I've tweaked the title of this thread since others may run into the same problem that Tom did. The solution is outlined in the second post ... Jim

All:

Has anyone set up an experiment with Strategy Wizard 3.0 in RealTime with Pre-Release 2R?

When I do so I get all zeros returned as shown below no matter what Strategy I employ.

I had created a strategy which was profitable on both the long and short side as shown on my Performance report and wanted to see if tweeking the parameters a bit with Strategy Wizard as my guide would be helpful. Since I had written the System for the strategy I thought that maybe something I did in the coding caused the problem.

So I set up a simple experiment with Nirvana's RTReversal (after insuring that plenty of signals and resultant trades were taken on my charts) and once again got all zeros as shown below.

Exiting Strategy Wizard brought me back to my main screen wherein I showed an active data connection, but all of my symbols were red and no strategy showed below the Vote Line as had before the start of the run.

So, am I doing something wrong? If so, how do I correct it?

And, if not, is Strategy Wizard broke in RealTime?

Thanks,

(Experiment on Two RT Reversal Parameters.PNG)



(Data Feed is Compromised.PNG)



Attachments
Attachments Experiment on Two RT Reversal Parameters.PNG (51KB - 3 downloads)
Attachments Data Feed is Compromised.PNG (88KB - 3 downloads)
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JimDean
Posted 7/21/2012 11:38 AM (#3769 - in reply to #3766)
Subject: Using Strategy Wizard with Intraday data



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You cannot run Strategy Wizard using an RT profile. There is a Test Profile for that ... TP's are REALLY vital for running SW studies and doing NN training, etc in a controlled environment.

To open a test profile:
File > New > Test > Stocks | Futures
set up your data periods as you please ... current max is 100,000 bars btw (ie back to Jan2007 for ~6m bars)
add symbols that you want
click ToDo to download all the history ... NOTE - it's put in Database\SymDataTest.otd

Once all the data gets loaded (can take a while), no further RT data is added until/unless you click ToDo again to download more. Thus the Test profile is sort of a cross between the EOD profile and the RT profile.

NOTE: if you want to avoid doing lots of repeated downloads, and/or avoid making the SymDataTest file "pin" itself at some huge max size, then I suggest you:
1. delete the existing SymDataTest first
2. set up your profile for a particular FL of symbols, and particular timeframe(s), for a massive # of bars
3. do the ToDo import
4. COPY the SymDataTest file into an archive folder for future use, so that subsequent tests use the same data, and you don't have to go thru a download process all over again.
5. RENAME that archived file to remind you of what symbol set, timeframe(s), and number of bars it contains ... for instance: aSDT-100k6mDJ30

I think you will find this to be VERY useful.
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ThomasHelget
Posted 7/21/2012 1:28 PM (#3770 - in reply to #3769)
Subject: Using Strategy Wizard with Intraday data



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Jim:

I can't tell you how many hours I invested into figuring out where I had gone wrong with using Strategy Wizard in RealTime.

Originally I thought that since I had creaded my own System and a Stop for use in my Strategy that the fault was in my programming even though I could see the signals and trades on my charts and generate a Performance report.

I have been using OT since 2004 and never ever knew of the Test profile. I don't believe I have ever heard it mentioned on any DVD that accompanied a plug-in or in any Webinar or on the OTU web-site. Much to my surprise the option was there all the time when one attempts to create a new profile.

I thought that the constant input of data in RealTime was the problem when I tried to run Strategy Wizard during the day on a RealTime profile and so assumed that once the trading day ended things would be fine since no data was still "coming in". When Strategy Wizard still gave all zeros with my strategy and even a cannned Nirvana Strategy (RTReversal) also produced zeros I figured that Strategy Wizard (or my implementation of it, or both) were at fault.

But, your solution of the Test profile did the trick! See the data starting to come across in my screen shot below.

Thank you so much for that little piece of information that could have so easily been presented in the User Manual but was not!

(Strategy Wizard Finally Working In RealTime.PNG)




Edited by ThomasHelget 7/21/2012 1:32 PM

Attachments
Attachments Strategy Wizard Finally Working In RealTime.PNG (31KB - 4 downloads)
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JimDean
Posted 7/21/2012 1:48 PM (#3771 - in reply to #3770)
Subject: Using Strategy Wizard with Intraday data



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Glad I could help. I feel sorta bad that I did not add these instructions earlier.

As I recall, Nirvana "slipped in" the Test Profile to a PR a couple of years ago - it was mentioned in the release notes I think. There has been a lot of q/a about it on the NClub forum as I recall. It used to be VERY awkward to use - no nifty ToDo loading. Just recently I think they disallowed SW use with RT (no announcement, but verified by Barry).

Last spring I worked with Cose on getting EOD data holes filled, and also convinced him to revamp the TP process. It's pretty slick now.

IMHO the main missing thing is a better way to archive the data - would be nice to be able to load prior collections from a File menu item. But for now, managing it manually with copy and rename isn't too bad.

The other serious limitation is that it won't load more than 100,000 bars. N offers data from Jan2007 on - I believe it should be allowable to load ALL the 1min bars since then (over 500,000 per symbol). But for now anyways, 100,000 6min bars is the fastest you can get that cover the full period. Not too shabby.

I expect you will find that using SW (or NN training) to go much faster with TP's than in the old RT mode. Enjoy!
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ThomasHelget
Posted 7/21/2012 4:09 PM (#3772 - in reply to #3771)
Subject: Using Strategy Wizard with Intraday data



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Jim:

Yes, it works great!

And, I am so glad that you were privy to the changes Nirvana had made. I am pretty sure I can recall the days when one could use Strategy Wizard directly with a RealTime profile and that is why I was so dismayed that I couldn't get it to work again.
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