distribution of long to short

Mark,

I am seeing a strange distribution of long to short trades. Either ALMOST ALL trades or long or the opposite of this.
The strategies are absolutely not an even random distribution of long to short. Either stacked one way or the other.
I am not sure why this is.

I attached my settings file for your information. Thanks.

Attachments

Build1.xml

(864.47 KiB)

Votes 0
Project StrategyQuant X
Type Bug
Status Refused
Priority Normal

History

jmtc1230

23.04.2018 00:23

Task created

jmtc1230

23.04.2018 02:06

Attachment long to short.jpg added

hankeys

28.11.2018 09:02

mostly its because of "bad" filtering methods in the strategies, where long filters are "always true" and opposite filters for sell are "nonsenses", where the true will not happen at all

for example: EQUAL vs NOT EQUAL, etc.

add symmetry filter to your building process to get rid of these type of strategies

Mark Fric

29.11.2018 11:59

Status changed from New to Refused

I tested it and it works correctly.

Because strategies are generated randomly, it can happen that it will create strategies whose long rules that are much more frequent than short ones, but it creates also strategies where long and short PL are very similar.

You can filter it by symmetry as hankeys says.

Votes: 0