Symmetric optimization is impossible for levels (WPR as an example)
LongExitSignal = (Williams % R(Main chart,WPRPeriod)[WPRShift] < WPRLevel);
ShortExitSignal = (Williams % R(Main chart,WPRPeriod)[WPRShift] > WPRLevel2);
While this results in symmetry for the actual trading rule/results,
because both levels are indeed the exact opposite of each other, they
are represented in 2 separate variables in the Optimizer later on. To
correct this, SQX should only use 1 level variable and instead create
the code like this:
LongExitSignal = (Williams % R(Main chart,WPRPeriod)[WPRShift] < 0 - WPRLevel);
ShortExitSignal = (Williams % R(Main chart,WPRPeriod)[WPRShift] > -100 + WPRLevel);
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Votes +5
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Project StrategyQuant X
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Type Bug
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Status New
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Priority Normal
History
geektrader
30.03.2022 20:37Description changed:
LongExitSignal = (Williams % R(Main chart,WPRPeriod)[WPRShift] < WPRLevel);
ShortExitSignal = (Williams % R(Main chart,WPRPeriod)[WPRShift] > WPRLevel2);
While this results in symmetry for the actual trading rule/results, because both levels are indeed the exact opposite of each other, they are represented in 2 separate variables in the Optimizer later on. To correct this, SQX should only use 1 level variable and instead create the code like this:
LongExitSignal = (Williams % R(Main chart,WPRPeriod)[WPRShift] < 0 - WPRLevel);
ShortExitSignal = (Williams % R(Main chart,WPRPeriod)[WPRShift] > -100 + WPRLevel);
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