Combination Strategy different from individual backtest
Author: lookingbackon
Creation Date: 7/18/2014 1:28 AM
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lookingbackon

#1
Hello,

One problem for your help as below:

In my combination test with 6 child-strategy, the general trades list information was not in line with the relavant individual child-strategy chart,e.g.: different entry/exit date, entry price,etc.

what could be the possible cause fro that?
Thanks
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Eugene

#2
Hi,

There's not enough details to answer your question without resorting to guesswork. May be you loaded too few bars and used an unstable indicator? Or there's not enough capital to take all trades, Position.Priority is not assigned properly so randomization comes into play?

Please provide the following information:

1. Strategy or sample code used.
* If what you experienced can be reproduced using a un-modified public Strategy, the name is sufficient.
* If affected is your own strategy, provide an "as-small-as-possible" code that demonstrates the anomaly.
2. Single symbol or multi-symbol mode, position sizing, allocation, margin, and data loading range
3. Symbol(s), data provider
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lookingbackon

#3
Hello Eugene,

Thanks for the reply.
The issue is addressed and caused by the Parameters setup. I found the current version needs to manually input each parameter of every child-strategy rather than automaticlly reads the parameters of each child-strategy which was setup before hand . Otherwise, the system will assign a defaut Parameters for those without manual Paramaters setup.
Is this in line with the system development idea?

Regards
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Eugene

#4
Since for Preferred Values there's a self-descriptive checkbox, by setting up the parameters for each strategy beforehand you must mean that Combo strategies ignore the manually saved default parameters that overwrite the default values in strategy code. I'd expect the behavior to be consistent, so let me ask the developers and get back to you with the answer.
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Eugene

#5
Turns out this is a bug. Thanks for the heads-up.
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lookingbackon

#6
OK. Thanks for the clarification on that. Would be great to get the bug remedied soon.
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wmrgrove

#7
Thanks for the heads-up on this. Just experienced same issue.

Eugene; any time line on fix for this? Just asking, not suggestion an increase on priority.
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Eugene

#8
I don't know. It should be in the backlog among with other bugs.
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KGo

#9
QUOTE:
Combo strategies ignore the manually saved default parameters that overwrite the default values in strategy code. I'd expect the behavior to be consistent, so let me ask the developers and get back to you with the answer.

It should be in the backlog among with other bugs.

Preferred values may be fixed now in the WL Combination Strategies.

A new style of combination can now be made with Historical Trades: No Coding with By Symbol Optimization. Each strategy in the combination would be executed separately with it's preferred values and the trades saved. See: https://www.wealth-lab.com/Forum/Posts/New-style-of-Combination-Strategy-uses-Historical-Trades-40092/
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Eugene

#10
QUOTE:
Preferred values may be fixed now in the WL Combination Strategies.

Right on. It appears to have been fixed. Scratching the bug off the Wiki's Open Issues list!
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