[136 RC 3] Building with Portfolio based Fitness unexpected behavior
I can understand how generation zero would not be tested yet on the cross-check markets, maybe it was done on purpose so the init pop didn't take a long time to fill. However, in later generations, there are strategies that skip the crosschecks but are ranked with high fitness. My screenshot shows one newly created gen 5 strategy un-crosschecked, and it also shows a few still alive from generation 0 that were never crosschecked and should be by now. Presumably, they are competing with other legitimate strategies (which have been tested correctly on other markets) causing inefficiencies. EDIT: Working around these rogue un-crosschecked strategies with a complex fitness custom column combo, I can get 2.5x the strategies passing the filters so obviously this is definitely an enormous inefficiency for building with a crosscheck-based fitness. You can tell the cross-check was skipped because the portfolio # of trades is the same as the main data # of trades. I took this strategy into retester and it does trade on other markets just fine but for some reason during building, the crosschecks for this strategy were skipped so it looks like a bug.
To reproduce:
1. load the build config and start building
2. Open the "last generation" tab and choose a view that shows number of trades for main data and also for portfolio.
3. Sort the "last generation" databank by number of trades for portfolio.
4. look for strategies other than generation zero strategies (x.0.xxx is a zero generation, look for x.2.xxx or x.3.xx or x.4.xxx you get the idea...) that have the same number of trades in the portfolio data as it does in the main data. With my sample build config, there will be approximately one or two each generation after generation 3 begins. Also, look for 0 generation strategies that are still alive in later generations yet have not been cross-market checked.
To reproduce:
1. load the build config and start building
2. Open the "last generation" tab and choose a view that shows number of trades for main data and also for portfolio.
3. Sort the "last generation" databank by number of trades for portfolio.
4. look for strategies other than generation zero strategies (x.0.xxx is a zero generation, look for x.2.xxx or x.3.xx or x.4.xxx you get the idea...) that have the same number of trades in the portfolio data as it does in the main data. With my sample build config, there will be approximately one or two each generation after generation 3 begins. Also, look for 0 generation strategies that are still alive in later generations yet have not been cross-market checked.
**NOTE**You may have to use the native builder to reproduce this as within a custom build task fitness function is hit or miss because of the fitness bug
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Votes +6
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Project StrategyQuant X
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Type Bug
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Status Waiting for information
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Priority Normal
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Assignee Mark Fric
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Category Backend
History
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bentra
10.03.2022 02:55
By generation 5 all the strategies in the gene pool should've been sent to the cross-check by now, even the ones that are leftover from generation 0.
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geektrader
10.03.2022 23:42
Thanks bentra, I 100% confirm the issue! This needs to be fixed as quick as possible.
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bentra
11.03.2022 19:18
I created a temporary workaround involving a custom column for the purpose of giving a lot of bonus fitness for having ~100 or more non-main chart trades and it got rid of this problem (by essentially burying anything in the gene pool that doesn't have cross-check trades with genes that do have them...not the ideal way to resolve this but it's a good proof of concept) and now gets 2.5x the output making it through the next set of filters. The stagnation of islands becomes much rarer and the fitness charts of all the islands are now properly progressing!
I remind you this only applies to people building on a portfolio fitness. Message me if you want more info on the discord channel.
I remind you this only applies to people building on a portfolio fitness. Message me if you want more info on the discord channel.
CG
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bentra
14.03.2022 02:14
Credit to the SQX team for giving so much transparency to these processes that we the users can actually find these bugs.
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Tamas
11.09.2022 14:38Assignee changed from Mark Fric to Mark Fric
Status changed from New to Waiting for information
Milestone changed from None to Build 136 Dev 4
Category changed from None to Backend
As far as I know, this was already fixed by Mark in another task, right?
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bentra
11.09.2022 16:10
It is not fixed in dev 2. I've been keeping an eye on bug reports, I don't see another fix that may have affected this. It's about some strategies not getting crosschecked during the building phase when a crosscheck fitness is applied.
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Tamas
11.09.2022 17:18
As I know this was fixed in dev3 last Monday. Can you please download the latest build and test it out ?
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bentra
13.09.2022 00:09
This problem still exists in the newest dev version dev 3. Some strategies remain in the pool with no crosscheck done, they rank high in fitness.
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bentra
13.09.2022 00:32
Look... no crosscheck is done for sure on this one strategy
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bentra
13.09.2022 00:35
Not sure why some strategies are skipping the crosscheck but they are. My workaround is to kill off (rate with low ranking) these strategies by force with a custom column, however, it would be even better (less wasteful of CPU) if strategies did not skip the crosscheck.
MF
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bentra
05.12.2022 23:18
This is clearly not fixed. We are in generation #2 (1) but the genes that survived through from generation #1 (0) never actually got tested on the crosscheck and are getting highly rated fitness which messes up the process. I understand that init pop can skip the crosscheck generation #1 (0) but we need all the genes to be tested with a crosscheck by/on generation #2 (1). Currently, only the mutations and children are being crosschecked. The original init pop NEVER GETS CROSSCHECKED AND MAY LIVE A LONG TIME WITH HIGH FITNESS MESSING THINGS UP
Not fixed in RC 3 please update the milestone
Not fixed in RC 3 please update the milestone
MF
MF
MF
Votes: +6
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