I have come across the following problem and would like to briefly explain it using a simple and comprehensible example.
I have carried out the following optimization:
The result was as follows:
A backtest of the top result matched the values of the optimization:
I have now changed the parameter in the building block for the entry from over to under (I have left all other values unchanged) and performed another optimization:
The result was as follows:
A backtest of the best APR result revealed the following:
This did not match the result from the optimization. After closer inspection, I noticed that the optimization in the second run (with the parameter "under" instead of "over") showed the same results as in the first optimization. The optimizer seems to have left the parameter in the building block set to "over".
Have I overlooked something or is this a bug?
I have carried out the following optimization:
The result was as follows:
A backtest of the top result matched the values of the optimization:
I have now changed the parameter in the building block for the entry from over to under (I have left all other values unchanged) and performed another optimization:
The result was as follows:
A backtest of the best APR result revealed the following:
This did not match the result from the optimization. After closer inspection, I noticed that the optimization in the second run (with the parameter "under" instead of "over") showed the same results as in the first optimization. The optimizer seems to have left the parameter in the building block set to "over".
Have I overlooked something or is this a bug?
Rename
Hi Gunny, it's a bug!
The optimizer isn't taking into account the parameter change. Workaround: run a backtest first, then run an optimization. It will work then.
Will get it fixed for next build.
The optimizer isn't taking into account the parameter change. Workaround: run a backtest first, then run an optimization. It will work then.
Will get it fixed for next build.
I'm glad Glitch found it because I couldn't duplicate that result - even without running the strategy after switching over/under.
Many thanks for the very quick help!
You are always very fast, that's great :-)
You are always very fast, that's great :-)
Your Response
Post
Edit Post
Login is required