Constraints

[constraints] restricts the search space of an optimization. Whale-E runs one backtest for every hyperparameter combination, and this block discards, up front, those that do not satisfy a condition, before they are ever tested.

Consider a crossover of two moving averages, fast and slow, explored over the same ranges: two sources (close and ohlc4), three types (sma, ema, and wma), and a length from 10 to 50, which gives 41 values. Each average therefore represents 2 × 3 × 41 = 246 configurations, and the crossover of the two tests 246 × 246 = 60,516.

Many of these combinations are pointless, because a fast average longer than the slow one matches no real strategy. The constraint fast.length < slow.length keeps only the length pairs where the fast one is shorter, that is 41 × 40 / 2 = 820 pairs instead of 41 × 41. The optimization then drops to 2 × 3 × 2 × 3 × 820 = 29,520 backtests. The full derivation is available on the Hyperparameter Combinations page.

Block declaration#

A strategy contains at most one [constraints] block. It exposes a single key, condition, holding the logical expression evaluated for each combination. When the condition is true, the combination is kept and tested; when it is false, the combination is discarded.

Examples#

Two moving averages crossover#

For a fast / slow crossover, require that the fast period stays below the slow period:

[constraints]
condition = "fast.length < slow.length"

Consistent source and type#

When several sources and types are explored, you can also require that both averages share the same source and the same type:

[constraints]
condition = "fast.length < slow.length and fast.type = slow.type and fast.source = slow.source"

Optimized constants#

The condition can also reference [[constant]] blocks by their id. To keep a take profit above the stop loss throughout the optimization:

[constraints]
condition = "stop_loss_pct < take_profit_pct"

Block parameters#

Referenceable variables#

The condition references the hyperparameters explored during the optimization:

• indicator block parameters, written as <id>.<parameter>, for example fast.length, fast.type, or fast.source;
• [[constant]] blocks, written with their id alone, for example take_profit_pct.

The available operators are the comparisons <, >, <=, >=, = and the logical operators and and or.

Evaluation#

• The condition is evaluated for each combination before its backtest. Only the combinations that satisfy it are run.
• A single [constraints] block is taken into account. To combine several rules, join them with and and or within the same condition.