Filters are not filtering!
Mark - i am observing strategies coming through that the filters should not allow such as drawdown of 37% when the filter is set to not allow greater than 30%.
I am observing negative profit strategies that dont comply with the net profit filter.
I am observing ret/dd less than filters allow.
The entire filtering component needs to be looked at, evaluated, and fixed.
All of the time spent generating is for no value if filters are not working.
Additionally I am speculating if strategies that SHOULD make it through are not making it through.
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Votes 0
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Project StrategyQuant X
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Type Bug
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Status Fixed
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Priority Normal
History
j
TT
j
jmtc1230
23.05.2018 13:40Attachment JDMBuild.xml added
Tom - this is in Builder / Genetic. Use the attached settings file and let it run for some time. You will see the issue. I don't really know if it happens in Builder / Random mode.
j
jmtc1230
24.05.2018 03:10
Tom - I have a little more information on this. When I generate with filters applied to the ENTIRE data set (no IS or OOS), it seems to work fine.
When I apply filtering to IS and OOS is when it goes wrong.
h
hankeys
24.05.2018 08:02
by my findings, the filtering by IS/OOS values works just fine - i have set up filter for PF, RDD, number of trades, win% and in the databank is everything right
j
jmtc1230
28.05.2018 19:01
Mark - I have been doing generation with only OOS filtering and none are coming through.
TT
Votes: 0
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Please provide more info how to reproduce it.
In which part it does not work ???? builder - random/genetic-initial, retester, optimizer or in custom projects ???