Extreme values for EXIT TYPES: Trailing stops, activation's, bars exits, SL to BE - in the millions

This is something I have only started seeing in 117. Happens in Random or Genetic in builder.



A very large number of strategies have values (x) in the millions for:


Exit after x bars
Trailiing Stop x pips
Stop Loss to Break-Even x pips
Trailing activation x pips


This is also true when utilizing multiples of the ATR where appropriate for the Exit Types...for example Move SL to BE = x * ATR (y), where again x is in the tens of thousands or millions.


In all these cases, such values make absolutely no sense as far as I can tell. And the effect of such large values is the same as turning these Exit Types off.


Curiously the only one I haven't seen this for is Stop Loss (which is always set as required in my builds). The other exit types are always on, but not required. Just a thought. I dont have time to experiment further for you I am afraid, but safe to say the extreme values/error are there.

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  • Votes +3
  • Project StrategyQuant X
  • Type Bug
  • Status Fixed
  • Priority Normal

History

N
#1

nathan

14.01.2019 15:26

Task created

h
#2

Harpotrader

14.01.2019 18:15
Voted for this task.
h
#3

Harpotrader

14.01.2019 18:16

Hi, I already reported this in sq4_3596 like a month ago and it hasn't been fixed yet.

To me this is very risky and serious as there's no way to put any strategy in live.

Please fix asap.

N
#4

nathan

14.01.2019 18:32
Adding this, you can configure the ranges of the Exit Types in the builder. The defaults are usually set around 500, or 5 as maximums depending on the exit type, but regardless of what value you enter, these are never respected in the build process and are nothing more than window dressing at the moment. Is this confined to the builder in the custom project, or also the main builder? I am guessing both are affected as the core programming isn't going to change. Worrying.


I have 250 million generations to date, of these only 12 so far have passed all the rigorous robustness tests I have thrown at them. Going in and reading the Pseudo code for these 12, all of them except one suffer from the problem of extreme values on the exit types, and so are now only fit for the bin - or an alteration of the code and running the full set of robustness tests again.


250 million = quite a lot of processing time, actual time and electricity costs only to discovering this error at the end.

N
#5

nathan

14.01.2019 18:32
Voted for this task.
g
#6

geektrader

15.01.2019 09:17
Voted for this task.
g
#7

geektrader

15.01.2019 09:18
If they use a bar exit with a few million bars, it just means it´s not used. Same for a profit target with 1.000.000 x ATR (or whatever), just mean it´s not used. Does not mean that the strategy is faulty if it has passed your tests - you can just remove these exit types then as they are not being used in that case anyway. Still that bug should be fixed of course ;-)
N
#8

nathan

15.01.2019 11:16
True , I agree. 


It needs fixing though - the fact that the ranges are not respected at all for the Exit Types, be they the default ones, or custom reduces diversity in the population if the extreme numbers are effectively turning off the options of other exit types. Leads to bloat. Even if those exit types are checked and turned on, the frequency with which they are actually used in generation is significantly reduced.

g
#9

geektrader

15.01.2019 11:56
Yes, clearly a bug and must be fixed, just thought you should not throw away the strategies you already have as you can just edit out these useless exits and keep the good strategies :-)
h
#10

hankeys

15.01.2019 12:31
dont facing the issue with the extreme values, but automatic simplifier is what we need - to see only building blocks in the strategy which are operating the strategy...not nonsenses which never happen


see https://roadmap.strategyquant.com/tasks/sq4_3807

TB
#11

Tomas Brynda

29.01.2019 11:18

Status changed from New to Fixed


Votes: +3

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