129 Dev 6 - Crosscheck uses incorrect value for average profit

In the extensive crosscheck "Opt. Profile / Sys Param Permutation", there is a filtering option that says "Best optimization profit is < 1 StDev of average profit.



When I go to the Optimization Profile section of the strategy in question, it is using a significantly lower value for the average profit. In this case, $5273.98.


However in the Sys. Param Permutation section of the strategy, it is saying that the average net profit (median) is $30,690.05


I tried looking through the available parameters to find an "avg profit" value to match the $5273.98 as determined in the optimization profile and could not find it... which is what is leading me to believe that this is a bug and it is not using the proper value. 


This is causing all of my crosschecks to fail because the best optimization is never even close to the measured average. I believe the average should be measuring within x StdDevs of the median net profit instead of whatever value $5273.98 is derived by.

Attachments
Screen Shot 2020-07-16 at 65633 AM.png
(389.50 KiB)
Screen Shot 2020-07-16 at 65228 AM.png
(165.14 KiB)
  • Votes 0
  • Project StrategyQuant X
  • Type Bug
  • Status Refused
  • Priority Normal

History

KL
#1

kainc301

16.07.2020 13:05

Task created

KL
#2

kainc301

16.07.2020 13:08

Attachment Strategy 242110.sqx added

Strategy 242110.sqx
(88.89 KiB)
Here is the strategy from my example. Honestly it happens to all my strategies though. Currently tested on Gold futures.
MF
#3

Mark Fric

16.07.2020 15:24

Status changed from New to Refused

Attachment perm.jpg added

perm.jpg
(29.13 KiB)
it is a misunderstanding. The value is not the average profit, but 1 * StdDev of average profit from all the optimizations.


Average profit is on the first line, it is $30636.


If all your tests fail because of this, try to increase the stddev coefficient to 1.1 - 1.3


Votes: 0

Drop files to upload

or

choose files

Max size: 5MB

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

...
Wait please