Strategy Parameter not changing NetProfit in Optimization

Author: marrtw

Creation Date: 12/4/2017 10:15 PM

Wealth Lab » WealthScript (.NET) » Strategy Parameter not changing NetProfit in Optimization

marrtw

12/4/2017 10:15 PM

The code below compiles fine but the Strategy Parameter does not change Net Profit during Optimization. When I replace p.EntryPrice * ivSell with p.EntryPrice * (any number) it works fine. Both p.EntryPrice and ivSell are doubles so I'm not sure what's wrong.

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The code below compiles fine but the Strategy Parameter does not change Net Profit during Optimization.  When I replace  p.EntryPrice * ivSell with p.EntryPrice * (any number) it works fine.  Both p.EntryPrice and ivSell are doubles so I'm not sure what's wrong.

[code]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

namespace WealthLab.Strategies
{
	public class LinearVar : WealthScript
	{
		private StrategyParameter _ivSell;

public LinearVar()
		{
			_ivSell = CreateParameter("Sell Percent", 0.8, 0.5, 0.95, 0.05);

}

protected override void Execute()
		{
			double ivSell = _ivSell.Value;

int period = 20;
			DataSeries linreg = LinearReg.Series(Close, period);
			SMA MovAvg = SMA.Series(Close, period);
			PlotSeries(PricePane, linreg, Color.Navy, WealthLab.LineStyle.Solid, 3);
			PlotSeries(PricePane, MovAvg, Color.Gray, WealthLab.LineStyle.Solid, 1);

for (int bar = 100; bar < Bars.Count; bar++)
			{
				for (int pos = ActivePositions.Count - 1; pos >= 0; pos--)
				{
					Position p = ActivePositions[pos];
					if (p.PositionType == PositionType.Long)
					{
						if (!SellAtStop(bar + 1, p, p.EntryPrice * ivSell, "Stop"))
							SellAtLimit(bar + 1, p, linreg[bar], "Limit");
					}
					else
					{
						if (!CoverAtStop(bar + 1, p, p.EntryPrice * 1.20, "Stop"))
							CoverAtLimit(bar + 1, p, linreg[bar], "Limit");
					}
				}

if (Close[bar] > SMA.Series(Close, 100)[bar])
					if (linreg[bar] / Close[bar] > 1.04)
						if (BuyAtMarket(bar + 1) != null)
							LastPosition.Priority = -Close[bar];

if (Close[bar] < SMA.Series(Close, 100)[bar])
					if (Close[bar] / linreg[bar] > 1.08)
						if (ShortAtMarket(bar + 1) != null)
							LastPosition.Priority = Close[bar];
			}
		}
	}
}[/code]

Eugene

12/5/2017 7:04 AM

It does change Net Profit during Optimization. See for yourself:

change.png

marrtw

12/5/2017 7:25 PM

Well, that's embarrassing. I spent hours on this problem.

Apparently, the period under test is not long enough (not enough bars...2 years Daily on Dow 30). ~~Or, the Particle Swarm (GPAC PSO) algorithm aborts because the variance between tests is below some threshold (that's a guess).~~ Just tried Exhaustive with same result.