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Cannot WF Optimize with symmetry

I optimized using WF Matrix in Optimizer the following strategy. Although I checked "Symmetric variables for Long / Short"

it created two variables Number3 (for long) and Number 4(for short) and optimized them with different values :(

I am expecting to see just one variable called Number for both long and short to be optimized in a symmetric fashion.

The pseudo-code itself SHOULD NOT show two variables Number3 (for long) and Number 4(for short).

//--------------------------------------------------------------------

// Strategy Parameters
//--------------------------------------------------------------------
int MagicNumber = 12345;
bool ReplaceExistingOrders = true;
double Number2 = 0;
int CCIPeriod = 93;
int CCIShift = 1;
double Number3 = 251;
int ExitAfterBars = 0;
int ProfitTarget = 111;
int StopLoss = 69;
double Number4 = -251;
Main chart = Current Symbol / Current TF;

//--------------------------------------------------------------------
// Trading rule: Long Entry (On Bar Open)
//--------------------------------------------------------------------
if (No Trade Recently Closed
   and ((Number of MarketPosition("Current", MagicNumber, 0, "") = Number2)
   and (CCI(Main chart,CCIPeriod)[CCIShift] crosses above Number3)))
{
    // Action #1
    Open Long order at Market;
        Duplicate trades: disabled;
        Stop Loss = StopLoss pips;
        Profit target = ProfitTarget pips;
        Exit After ExitAfterBars bars;
}

//--------------------------------------------------------------------
// Trading rule: Short Entry (On Bar Open)
//--------------------------------------------------------------------
if (No Trade Recently Closed
   and ((Number of MarketPosition("Current", MagicNumber, 0, "") = Number2)
   and (CCI(Main chart,CCIPeriod)[CCIShift] crosses below Number4)))
{
    // Action #1
    Open Short order at Market;
        Duplicate trades: disabled;
        Stop Loss = StopLoss pips;
        Profit target = ProfitTarget pips;
        Exit After ExitAfterBars bars;
}

//--------------------------------------------------------------------
// Trading rule: Long Exit (On Bar Open)
//--------------------------------------------------------------------
if ((MarketPosition("Current", MagicNumber, "") is Long)){}

//--------------------------------------------------------------------
// Trading rule: Short Exit (On Bar Open)
//--------------------------------------------------------------------
if ((MarketPosition("Current", MagicNumber, "") is Short)){}

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Votes +3
Project StrategyQuant X
Type Bug
Status Refused
Priority Normal

History

murty

22.06.2019 18:33

Task created

murty

22.06.2019 18:33

Voted for this task.

felipebr

22.06.2019 19:48

Voted for this task.

bentra

20.07.2019 06:00

Voted for this task.

Mark Fric

12.06.2020 11:16

Status changed from New to Refused

it generates two variables because the values in CCi comparisons are not the same.

By default it negates like this:

Long: CCI crosses above 10

Short: CCI crosses below -10

note 10, -10. CCI is oscillator, it oscillates around 0, hence this negation.

But the solution is simple - if you want to compare it to the same value then open your strategy in AlgoWizard, create a new double variable and use it for both CCI comparisons.

Votes: +3