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"Retest on additional markets" filter doesn't work at all.

When using Builder to create strategies for multiple markets, I set filters  (Ranking -> Custom filters) to pass only when strategies perform in at least "N" number of markets. However, this filter is simply ignored and doesn't work at all. Doesn't matter if I want validation on 1, 2 or 3 markets, it never works. See images. I set filter for 3 markets to pass Rerturn/DD > 1. Only one market passes and the strategy comes through the filter, wrongfully. This happens invariably, no matter which markets I'm testing, timeframes or other settings. 



I'm using Build 116



Would you please fix that?



Attachments
OOS Report.png
OOS Report.png
(338.22 KiB)
Full report.png
Full report.png
(336.85 KiB)
IS Report.png
IS Report.png
(336.53 KiB)
Filters settings.png
Filters settings.png
(416.06 KiB)
Additional markets.png
Additional markets.png
(456.70 KiB)
  • Votes +1
  • Project StrategyQuant X
  • Type Bug
  • Status Fixed
  • Priority Normal

History

m
#1

jose moreira

27.12.2018 19:16

Task created

TT
#2

Tamas

27.12.2018 20:02

Status changed from New to In progress

h
#3

hankeys

27.12.2018 20:10
the filter doesnt work as you stated - if you set filter at market 3, it doesnt mean that filtering will be done for market 1,2,3 - but only on market 3 - nothing more, so it will be filtering only for USDJPY
m
#4

jose moreira

27.12.2018 20:20
Thanks hankeys. My bad, didn't understand the filtering process properly. 
TT
#5

Tamas

28.12.2018 08:51

Status changed from In progress to Fixed

Henkeys thanks for your support :)
AC
#6

AC1962

28.12.2018 10:09
Voted for this task.
a
#7

Ash24FX

29.12.2018 17:05
Hi all and thanks to hankeys for confirmation on how this filter works, I had also incorrectly assumed it returned a value based on at least "N" number of markets passing the test as per the OP's report

Is it currently possible to filter on at least "N" number of markets passing the test? If not I may raise it as a new feature request

Thanks

Ash


 

a
#8

Ash24FX

29.12.2018 23:30

I see the feature has already been requested, milestone currently set for build 118

https://roadmap.strategyquant.com/tasks/sq4_1917
Votes: +1

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