SQ 4.136, 4.137B1 Retester don´t use the parameter from sequial optimizier

Hallo,

Ich have testet the follwing thinks
1) I load a strategy in the sequential optimizer
2) I optimized this strategy for xauusd
3) The equity looks good in the optimzier
4) I copied this strategy to the retester
5) The result is different
6) I attached this strategy
7) I generated a video to for more description of this problem
https://www.youtube.com/watch?v=ULHa0kQmVm0


Attachments
Optimize.cfx
(34.52 KiB)
gbpusdgbpusdStrategy-41263-1.sqx
(119.57 KiB)
  • Votes +2
  • Project StrategyQuant X
  • Type Bug
  • Status Refused
  • Priority Normal

History

t
#1

tnickel

30.01.2023 14:43

Task created

t
#2

tnickel

30.01.2023 15:26

Subject changed from SQ 4.136 Retester don´t use the parameter from sequial optimizier to SQ 4.136, 4.137B1 Retester don´t use the parameter from sequial optimizier

Same Problem in 4.137 Beta1
E
#3

Emmanuel

03.02.2023 20:03
Voted for this task.
g
#4

Lee Guan Chuan

13.02.2023 05:46

Status changed from New to Fixed

k
#5

Karish

20.02.2023 19:16
Voted for this task.
k
#6

Karish

20.02.2023 19:21
After you tested your strategy,
you should use the SeqOpt Chart rather than the Main chart (The selection is Above the Chart),

Note to the dev team!:
not sure what has been fixed there.. though i would like to suggest this following rule:

IF the strategy has been tested with SeqOpt THEN automatically select to show the SeqOpt equity chart result rather than the Main equity chart result.

MF
#7

Mark Fric

01.03.2023 13:20

Status changed from Fixed to Refused

Ok, I was able to reproduce this and there is no bug, this behavior has an explanation.


You are optimizing several categories of parameters using seq. optimization, one of them is Exit parameters UNUSED, and you didn't check that long/short values should be symmetrical.


The optimization itself was correct, including the results and behavior in SQ.


There is one thing that confused you - Sequential optimization doesn't change the main result/equity of the strategy. 

It is applied on the original strategy afterthe initial backtest on original parameters, and the only result of this optimization is

in Results -> Sequential Optimization Results and in changed parameters (after the main backtest).


So when Optimization is finished the new strategy "gbpusd.... - Sequential opmimization" is added to the databank.

But the databank values and equity chart are not for the optimized parameters - they are for the riginal parameters of the strategy, that's why they are as same as in original strategy.


When you Retest the strategy in Retester it will retest it with the new parameter values, and the results will be different - which happened.



Now the reason why the results were so different - it is caused bytwo things:


1. parameters settings. You enabled also use of UNUSED exit pataremers, which means that they will be activated - it is mainly Exit After Bars,

ad you didn't enable long/short symmetry.


As a result, the optimized strategy has few more parameters:


int ExitAfterBars1 = 12;

double ProfitTarget2 = 3222;  <--- this is PT/SL for Short part

double StopLoss2 = 2543;


so there was quite a change in exits of the strategy



2. Automatic optimization was not very good in this case, it optimized to ranges that sometimes don't make good sense.

We are preparing a very big improvement of automatic optimizations for version 138, it will enable "smarter" and better configuration of what to optimize and what is the optimal range. 


Votes: +2

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