Using sequential optimization in WF and WFM processes

In the current WF and WFM process, a group of parameters with the largest net profit in the ISĀ  backtest will be selected for OOS test. Can you add an option to change the parameter group selection criteria from the maximum net profit to the parameter group of sequential optimization. This makes WF and WFM more robust. If there is no qualified sequential optimization parameter group in a backtesting process of WF test, the set of parameters of maximum net profit can still be used instead.
Thank you for your hard work.
Attachments
  • Votes +3
  • Project StrategyQuant X
  • Type Feature
  • Status New
  • Priority Normal

History

4
#1

Jordan

25.06.2022 10:12

Task created

4
#2

Jordan

25.06.2022 10:44

Attachment importance.jpg added

importance.jpg
(214.47 KiB)
I hope you will pay more attention to my bugs and suggestions. Thank you very much.
E
#3

Emmanuel

29.06.2022 11:57
Voted for this task.
Cc
#4

Cyber

02.07.2022 16:00
Voted for this task.
k
#5

Karish

04.07.2022 10:58
Already mentioned here: https://roadmap.strategyquant.com/tasks/sq4_8946

I like you're thinking :)

b
#6

bentra

06.07.2022 21:42

This one is also pretty much the same request:

https://roadmap.strategyquant.com/tasks/sq4_8919


I didn't notice it was selecting the highest net $$, I thought it was just choosing the first area that passes. Either way, we need more control to define the optimization goal. The average fitness of the area seems like a simple one.

4
#7

Jordan

22.09.2022 09:46
Voted for this task.

Votes: +3

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