WFA problem: money management not respected properly

When running Walk Forward Analysis or Matrix in Optimizer, SQX resets account size to the starting "initial capital" for every OOS segment. Therefore, the Walk Forward Analysis of strategies using "Risk fixed % of account" for money management is completely invalid in SQX. 



Examples: 


In Figure 1 account has 700 000 USD at the end of one OOS segment and starts the next segment trading 1.24 EURUSD lots, when it should be trading >50 lots, as it was at the end of the last OOS segment.
In Figure 2 you can see lot size is reset at the beginning of each OOS segment, even if the strategy makes a lot of money or loses a lot of money in the previous OOS segment. 


In real life, if the trader made 100 000 USD last year, he/she will NOT reset lot size to ground zero after each re-optimization. Similarly, if the strategy loses some money, it won't have capital to increase lot size to starting value after each re-optimization in the future. Therefore, this is a serious bug which, in my view, further invalidates Walk Forward Analysis or Matrix of strategies using "Risk fixed % of account" for money management.


Would you fix this?


Thanks

Attachments
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Figure 1.png
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  • Votes +2
  • Project StrategyQuant X
  • Type Bug
  • Status Fixed
  • Priority Normal

History

m
#1

jose moreira

20.12.2018 11:30

Task created

mp
#2

Michele

20.12.2018 12:28
Voted for this task.
m
#3

mabi

21.12.2018 00:58
Voted for this task.
MF
#4

Mark Fric

30.10.2019 09:17

Status changed from New to Fixed

this should be fixed now

Votes: +2

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