SQX 111 - Optimizer (simple) initial retest of strategy gives different trade results

Hi Mark,



Took one strategy from builder to optimizer.  User same data and config (see screenshot).


Ran simple optimization, first thing optimiser does is retest the strategy with current parameters and place this into the databank.


However, results and trades of this retest do not match the builder, even though strategy config is the same.  


See screenshots showing the different trade results attached.  


Looking at the optimiser trade list, it is clear that the trading options are not applied in the optimiser.  For example, the strategies are generated with limit trades between two times, but the optimiser trade list is opening trades outside this trade range, giving a meaningless optimisation result.


The optimiser should use the same trading options as the builder, such as limit trading to time range, exit on Friday, etc.


Please fix asap.


Many thanks,


Mike

Attachments
SQX 111 - Strategy config in optimizer.png
(37.12 KiB)
SQX 111 - Optimizer trade list.png
(163.31 KiB)
SQX 111 - Builder trade list.png
(166.26 KiB)
  • Votes +3
  • Project StrategyQuant X
  • Type Bug
  • Status Fixed
  • Priority Normal

History

m
#1

mikeyc

06.10.2018 14:11

Task created

m
#2

mikeyc

06.10.2018 14:21
Voted for this task.
m
#3

mikeyc

06.10.2018 14:22
Without this fix, the optimiser is pointless because it does not take trading options into consideration at all.
h
#4

hankeys

06.10.2018 14:49
Voted for this task.
TB
#5

Tomas Brynda

09.10.2018 14:57

Status changed from New to Fixed

IH
#6

clonex / Ivan Hudec

11.10.2018 13:19
Voted for this task.

Votes: +3

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