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Fit to Existing Portfolio not calculating fitness correctly

v135 BUG: The Fitness values for newly generated strategies are exactly the same whether I select fit to Existing Portfolio in the Ranking tab, or Main Data. I confirmed this by:

1. comparing the calculated Fitness values to the metric on which the fitness is calculated (no impact of selecting Existing Portfolio vs Main Data)
2. by retesting the generated strategies using the Main Data (same fitness values as originally when building strategies using Existing Portfolio option)


Would it be possible to fix this? Fit to Existing Portfolio is a superb option but it doesn't seem to work.

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  • Votes +1
  • Project StrategyQuant X
  • Type Bug
  • Status Fixed
  • Priority Normal

History

c
#1

crazyhedgehog

31.08.2022 10:19

Task created

c
#2

crazyhedgehog

31.08.2022 10:23
Voted for this task.
MF
#3

Mark Fric

04.09.2022 10:29

Status changed from New to Waiting for information

I cannot reproduce this, it works correctly. Fitness is different if I choose fitness from Main data vs Portfolio.


But it depends on which crosschecks you use, portfolio is computed only if you use Backtest on additional markets crosscheck.


Please write more details how you tested it, and attach a project.

c
#4

crazyhedgehog

04.09.2022 14:36
Hi Mark, thanks for looking into this. The bug is with Existing Portfolio fitness calculation, not the regular cross-check portfolio. 


When calculating fitness against Existing Portfolio with strategies in it, the fitness is the same as when calculating it on Main Data.


Please see my original bug report above for how I verified it. I am certain it does not work at least on my v135 install.


Maxim

MF
#5

Mark Fric

05.09.2022 12:52

Status changed from Waiting for information to Fixed

you are right, I found the problem. But this was not related to Fit to Existing Portfolio option - this one worked independently of the fitness computation.
Votes: +1

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