I want to SPP as a robustness check but I want to specify custom parameters to optimize
So I think I either I need to be able to set filter conditions inside the optimize strategies task of a custom project OR I need to be able to select the parameters for the optimization in the retest task.
Or am I missing something?
Or am I missing something?
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Votes +8
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Project StrategyQuant X
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Type Feature
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Status Fixed
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Priority Normal
History
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bentra
21.12.2020 03:54
If I could select which parameters to randomize inside a monte carlo when doing randomize strategy parameters then that would satisfy this same need.
b
bentra
21.12.2020 05:04
Ah never mind, I found it's easy to do it in snippet:
public RandomizeExitParameters() {
super(MonteCarloTestTypes.ModifySettings);
paramTypes.set(ParametrizationTypes.ParamTypePeriod, false);
paramTypes.set(ParametrizationTypes.ParamTypeShift, false);
paramTypes.set(ParametrizationTypes.ParamTypeConstant, false);
paramTypes.set(ParametrizationTypes.ParamTypeOtherParam, false);
paramTypes.set(ParametrizationTypes.ParamTypeExitUsed, true);
paramTypes.set(ParametrizationTypes.ParamTypeExitUnused, true);
paramTypes.set(ParametrizationTypes.ParamTypeBoolean, false);
paramTypes.set(ParametrizationTypes.ParamTypeTradingOptions, false);
}
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Mark Fric
01.04.2021 11:55Status changed from New to Fixed
it is now possible to choose your own categories of parameters in optimization crosschecks
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Karish
03.04.2021 10:26
Mark, I asked something very similar please review! maybe you guys can improve it even more,
the following task is related to SPP/WF/WFM.
https://roadmap.strategyquant.com/tasks/sq4_7915
Thanks!
b
bentra
04.04.2021 00:01
I kind of wanted the +/- % and steps controls too in case that wasn't clear....
k
Karish
06.04.2021 23:30
I kind of wanted the +/- % and steps controls too in case that wasn't clear....
+1
Votes: +8
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