is everything good with WFM? Why did the strategy of started optimization change dramatically?



https://drive.google.com/file/d/18LojDj6Wj8KJ7Y1tahb9eqYhvbxuv01-/view?usp=sharing

Attachments
after start.png
(131.67 KiB)
Strategy 112278.sqx
(92.99 KiB)
previuos start.png
(142.34 KiB)
  • Votes +3
  • Project StrategyQuant X
  • Type Bug
  • Status Fixed
  • Priority Normal

History

Rr
#1

Partizanas

17.06.2019 13:41

Task created

Rr
#2

Partizanas

19.06.2019 00:15

Attachment Screenshot_1.png added

why is the strategy failed but robustness score 88%?
RL
#3

rickliao

19.06.2019 03:31
Voted for this task.
b
#4

beppil

19.06.2019 18:30
Voted for this task.
Rr
#5

Partizanas

20.06.2019 22:28

Attachment Screenshot_1.png added

Attachment Screenshot_2.png added

Attachment WF Optimization - Strategy 331259.sqx added

why this strategy passed if ret/DD ratio 1.52 but filter set Ret/DD >= 3
Rr
#6

Partizanas

20.06.2019 22:54

Attachment Screenshot_1.png added

Attachment WF Matrix - Strategy 53260.sqx added

bad results are displayed
Rr
#7

Partizanas

21.06.2019 10:47

Attachment Screenshot_1.png added

WFM engine totally broken...
f
#8

felipebr

22.06.2019 19:42
Voted for this task.
Rr
#9

Partizanas

28.06.2019 18:51
121 builds were tested and there was no such gross error
b
#10

bentra

02.07.2019 05:00
I think there is some confusion about the functions.

"why is the strategy failed but robustness score 88%?"

In that screenshot, where it says "FAILED" is talking about the entire matrix. The 88% is referring to the one single run by itself. In order to see PASS we would need to see 7/9 runs in a 3x3 square pass the robustness test. In your screenshot only 5/9 passed hence the "FAIL"
b
#11

bentra

02.07.2019 05:24
"why this strategy passed if ret/DD ratio 1.52 but filter set Ret/DD >= 3"

first Screenshot (Screenshot_2). Maybe that's a bug, the results/ranking filter seems to not be working.
second Screenshot (Screenshot_1). Looks fine. This matrix PASSED with 8/9 runs in a 3x3 square passed. Unfortunately the center run (10 runs 20% oos) is the only failed run which happens to be the recommended setting. But this is all working by design.
Rr
#12

Partizanas

13.08.2019 12:27
I'd like to get a comment from Mark
MF
#13

Mark Fric

20.08.2019 13:02

Status changed from New to In progress

there are several things mixed:


1) different results every time you run the matrix - it depends kon your configuration and number of possible total combinations. If you have 10 million possible combinations of parameters you need to use at least 5-10.000 max optimizations so that genetic engine can search the available parameters space. Even then, only 10.000 of all 16 mil. possibilities are evaluated, so there is a chance that the results will be slightly different every time you run it.


The key is to ooptimize as little parameters as possible, not everything, to keep number of total possibilities low.




2) Walk-Forward results display is confusing, we remade it for the new version. Until now it mixed result of one WF run with result of full WF matrix.

I'm attaching how the WF Matrix result looks now.




comment #5 - there is a % of how many conditions must pass in order for one WF result to pass. So one of the conditions could still fail and your WF result can pass - it depends on setting. If you want to force all conditions to pass set robustness score to 100%.


comment #6 - difference in number - we'll look at it, probably only different rounding used in both places.


comment #7 - PASSED/FAILES result in the databank is set after the optimization depending on your setting in Ranking. You can modify the conditions in WF Result screen as well, and result will be recomputed, but it will not change Filter result in databank.


Votes: +3

Drop files to upload

or

choose files

Max size: 5MB

Not allowed: exe, msi, application, reg, php, js, htaccess, htpasswd, gitignore

...
Wait please