crosscheck of higher precision during building, filters don't remove offenders from the gen pool

Some of us like to build on selected time frame only precision then run a crosscheck higher precision retest in the same build task. It works OK using minimal resources till the main data filters are passed then the crosscheck happens. The false positives (strategies that look good on selected only precision but do bad on higher precisions) don't make it in to the RESULTS tab because of the higher precision filters, that's good, but they stay in the gen pool getting all the "love" (higher likelihood of surviving and procreating and mutating) from the gen algo. It would be nice if the retest filters actually removed the strategy from the gen pools as the text implies "dismissed (thrown away)" in the filter setting notes. 

OR  - we could rank fitness via the higher precision test to avoid this too. There is one more important point about that though. The crosscheck retest higher precision should NOT run unless the main data filters have passed. So fitness should rank by main data unless they pass the main data filters and have been subject to the retest in which case rank by retest. I bring this up because when rank by portfolio is selected then the retest on other markets happens on all strategies upon the first generation regardless of the main data filters. That is all strategies that pass init pop filters are retested automatically when rank by portfolio is selected and I don't think we want this for rank by retest higher precision.














Attachments
Screenshot 165.png
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Screenshot 166.png
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Screenshot 163.png
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  • Votes +8
  • Project StrategyQuant X
  • Type Bug
  • Status Fixed
  • Priority Low

History

b
#1

bentra

13.01.2021 20:09

Task created

b
#2

bentra

13.01.2021 20:10
Voted for this task.
o
#3

Enric

13.01.2021 22:14
Voted for this task.
MO
#4

mareko

13.01.2021 23:20
Voted for this task.
IH
#5

clonex / Ivan Hudec

14.01.2021 09:49
Voted for this task.
k
#6

Karish

14.01.2021 14:42
Voted for this task.
g
#7

geektrader

18.01.2021 06:33
Voted for this task.
b
#8

bentra

02.03.2021 17:22
As for the massive disparity shown in those screenshots, I think fixing the other bug https://roadmap.strategyquant.com/tasks/sq4_7723 will improve the situation but it would still be good if my suggestions were considered. The disparity between "higher precision" vs "selected timeframe only" that pass all auto-filters is still significant sometimes therefore either of my suggestions would still be an improvement.
TT
#9

Tamas

19.03.2021 10:46

Status changed from New to Fixed

ok, added as fitness method
b
#10

bentra

01.04.2021 21:42

Attachment Screenshot 227.png added

Screenshot 227.png
(97.74 KiB)
DEV4 problem. This is not working.

Trying to use higher precision results to calculate fitness:

   - Exception in backtest: ResultGroup doesn't contain result with key 'CrossCheck_HigherPrecision'! - in 0.84 s.

And the islands never fill....

If the crosscheck hasn't been done yet then the main data should be used instead to calculate fitness. (Please do not force the crosscheck to happen until the main data  test is able to at least pass the auto-filters maybe even the main data related ranking filters)

h
#11

hankeys

02.04.2021 10:54
Voted for this task.
TT
#12

Tamas

06.04.2021 09:13

Status changed from Fixed to In progress

AT
#13

AngelTalavera

08.04.2021 21:03
Voted for this task.
MF
#14

Mark Fric

11.05.2021 10:22

Status changed from In progress to Fixed


Votes: +8

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