WFA seriously broken B129

Kc

#1

coensio

26.09.2020 15:52

Task created

Kc

#2

coensio

26.09.2020 15:59

Attachment SQX B129 WFA bug 3.png deleted

Kc

#3

coensio

26.09.2020 16:00

Description changed:

There are multiple very serious issues with WFA engine in B129 (probably also all previous versions).

Issue 1. WFA in optimizer acts strange when settings are imported from WFA workflow AND WFA from workflow seems to give different results than WFA in optimizer WITH THE SAME SETTINGS.

Step 1A: WFA optimization performed with Automatic parameter settings in WFA workflow

Step 1B: Settings from WFA workflow imported to WFA optimizer

Step 1C: WFA optimization performed with the same strategy as in 1A and same WFA settings, but now in WFA optimizer = results OK

Step 1D: WFA Automatic parameter settings "step" changed to another value, eg from 3 to 6 = got some results = OK

Step 1E: Now, WFA Automatic parameter settings "step" changed it's original setting as it was directly after WFA settings import from WFA workflow = results TOTALLY DIFFERENT from step 1B and step 1C!!!

Issue 2. After changing WFA Automatic parameter settings "step" to some other value, I got an error as in screenshot 1.

Kc

#4

coensio

26.09.2020 16:24

Attachment SQX B129 WFA bug 4.png added

SQX B129 WFA bug 4.png

(36.59 KiB)

W.R.T issue 1A:

I can see when the problem is: somehow when performing WFA from workflow, the WFA engine doesn't properly calculate or 'buffers the old value' of the resulting number of 'Total combinations'. When loading a new strategy to 'bank A', (= source bank of WFA step) then WFA doesn't calculate new 'Total combinations' value during the new WFA run. Instead it uses the OLD value of 'Total combinations' from the previous run!

In this case when a new strategy is loaded to bank A, when changing/playing with e.g.: 'step value' from 2 to 6 and back (without running a new WFA run) the value of 'Total combinations' is suddenly refreshed according to new strategy in the bank A, but sometimes it results in 0 total combinations = error.

This is a huge bug!

How it should work:

WFA engine should always recalculate the new number of 'Total combinations' for EACH single strategy from the source databank BEFORE each single WFA run. Now it seems that all strategies from the source bank are WFA optimized using 1 same combinations number setting from previous run! When you take a strategy from such WFA run and you 'reload it' back into the same WFA source bank and you play with the settings like e.g.: 'step value' then number of Total combinations suddenly changes, when you run WFA again = you get different results!

See screenshot 2.

Kc

#5

coensio

26.09.2020 16:26

Voted for this task.

Kc

#6

coensio

17.10.2020 15:44

Attachment SQX B129 WFA bug 5.png added

SQX B129 WFA bug 5.png

(111.69 KiB)

More WFA issues in B129:

*changing data range by 1 DAY lead to totally different results in the past and also missing trades! see attachment

MF

#7

Mark Fric

23.11.2020 10:10

Status changed from New to Fixed

- we fixed the issue with changing step - the total number of combination should not be displayed at all if you use setting "All strategies in databank".

I don't see why you think it is a huge bug - the number only shows all possible combinations, and it makes no sense when you optimize multipole strategies because each strategy has different number depending on its parameters.

Other issue you reported as a bug is not a bug - there are usually much more total possible conmbinations than steps allowed, so optimizer uses genetic optimization and that is RANDOM.

Every optimization could be slightly different from the previous one. Genetic optimization should help in avoiding local minimum, but it would not be always the same.

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