What's the best way to log and export metrics as part of the strategy execution?
For example - I have an FVG gate as part of my strategy. I would like to track the decision point and the data involved as part of the gate - yes or no, how close was the data, could I tweak the decision point to be more effective?
Thanks
For example - I have an FVG gate as part of my strategy. I would like to track the decision point and the data involved as part of the gate - yes or no, how close was the data, could I tweak the decision point to be more effective?
Thanks
Rename
I'd use WriteToDebugLog for this purpose.
QUOTE:
I have an FVG gate as part of my strategy. I would like to track the decision point
I don't even know what a FVG gate is. Can you tell me?
For the initial development of tracking decision points on a trade, I like the method presented in Post #1 because it's easy to do.
Now do you want to get more complicated? Can you write C# or C++ code on Visual Studio? Would you want to import these decision points into a stat package like R or MatLab for a statistical analysis? (An excellent idea.)
If so, then you can develop a custom DLL that will add your decision elements to the WL Position object of each trade. Post simulation, you can examine those saved elements with a performance visualizer such as Analysis Series. And you can write those Position attributes into a disk file that you can now import into your stat package.
WealthLab is a framework that gives programmers a starting point to get creative.
Fair Value Gap gate - was there an FVG that meets the criteria?
QUOTE:
was there an FVG that meets the criteria?
Not out of the box. Are you a C# coder? If so, I would set up a finite state machine as you would do if you were tracking a trading pattern. You can create a C# "struct" attribute object and store salient state values as the state machine steps through each state of the prospective pattern. If the values for the sequential states arrive at a match, then you have your pattern.
This isn't necessarily hard for an experience C#/C++ programmer, and you can use a .NET FIFO queuing data type to keep track of the finite state machine pattern candidates. But I wouldn't try it if you're new to C# coding. And the main problem is the debugging of the state machine. If you're doing this a great deal, then I would develop a special pattern-matching C# class to build (and debug) state machines from which to speed up development.
If you're not a C# programmer, then I would take a look at the WL Candlestick Genetic Evolver extension. It's not as powerful as building your own custom state machine, but it can be used to match candlestick patterns. I've never used it, and I'm not a pattern trader, so if you have questions about this extension, post them in another topic discussing the Candlestick Genetic Evolver extension.
https://www.wealth-lab.com/extension/detail/Candlesticks
Happy computing to you.
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