Weighted fitness doesn't work for some metrics
For example, if you select ONLY Net Profit as your weighted fitness criterium and sort the results by the fitness column you will see that the order is wrong when compared to sorting the Net Profit column. This is true for many of the fitness items (though I didn't test them all). I didn't attach a config file because it does it for all builds that I've tried. I also tried version 139 and the problem is still there as well.
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Votes 0
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Project StrategyQuant X
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Type Bug
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Status Waiting for information
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Priority Normal
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Assignee Tamas
History
MJ
TT
Tamas
11.04.2024 09:27Assignee changed from Tamas to Tamas
Status changed from New to Waiting for information
MJ
Mitch
12.04.2024 15:26
Yes that would cause it. I would have that separated out as a separate factor instead of always included in the weighting. Or have a specific factor that is sqrt ( number of trades) so there are diminishing returns as the number of trades goes up.
MJ
Mitch
12.04.2024 22:45
Number of trades is also in the weighted fitness list. I would just create a metric that is SquareRoot(number of trades).
Votes: 0
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Hello,
there is a specific procedure concerning the NumberOfTrades. If it falls below a certain threshold, we adjust the fitness accordingly.
Could this potentially be the problem in your situation?
If not, please attach the strategies so that I can investigate further.
Best regards,
Tamas
if(trades < 20) { fitness *= 0.3; } else if(trades < 30) { fitness *= 0.4; } else if(trades < 50) { fitness *= 0.6; } else if(trades < 70) { fitness *= 0.8; } else if(trades < 100) { fitness *= 0.85; } else if(trades < 150) { fitness *= 0.9; }