Optimization Anomaly
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I was running an optimization on a ProOrder strategy, when I noticed a very strange thing.
As you can see on printscreen 1, the best gain after 3% was 5026.4 euro, followed by a gain of 4998 euro.
Only a minute later, these results suddenly disappeared from the optimization report as can be seen on printscreen 2.
After the optimization was complete, these two 5000 euro results where nowhere to be seen, as can be seen on printscreen 3.
I have attached the itf file of the strategy, but I am afraid the strategy isn’t responsible for the anomoly.
I tried an opitimization on a different strategy and there I encountered the same problem; the current temporary top results just vanishing.
Can someone help me figure out where the problem originates from?
Thanks in advance
I’m running it now, I may as well let it finish, but I get £4399.7 (€5185).
Also I had no disappearing higher values etc.
I will try on my CFD account also later.
I entered Spread = 2.
What value spread did you enter in the box?
On printscreen 4 you can see another problem regarding an optimization test. (It’s a slightly different variation of the Strategy in my first post – Itf file is attached – Spread = 1.5)
When I set the Stop Loss percentage of the long and short trades at two percent, I get a result of 5701.90 euro.
However, when I run an optimization test, ranging from 1 to 2.1 percent, the 2 percent combination doesn’t appear in the optimization report, even tho it should be if you look at the other results.
Reassuringly I got the same on my CFD Account (allowing for very minor differences).
No disappearing acts either.
Spread = 2 so you can add £353 (£1 for each trade).
Reassuringly I got the same on my CFD Account (allowing for very minor differences).
No disappearing acts either.
Spread = 2 so you can add £353 (£1 for each trade).
Did you run the complete test, because I’m very curious what the best combination in your optimization report is.
The problem for me however remains, since I know there are combinations of the 4 variables that give a better endresult than the top result in my optimization report.
When I input the values from your test, I am capable of recreating your result (as you can see in printscreen 7 – euros instead of pond ofcourse). Therefore I think we can conclude that the result itself is not wrong, but for some reason it won’t show the best result.
Only a minute later, these results suddenly disappeared from the optimization report as can be seen on printscreen 2.
Hey PZ maybe you are not seeing things after all!
If the same or better profit figure (the best gain after 3% was 5026.4 ) can be had at a different / lower set of variable values then the higher set of values may disappear out of view as the Optimiser only shows the top 100 combinations.
Above doesn’t explain why I didn’t see the disappearing act?
Could be, altough I have been using the optimizer since forever, and I never had the impression that it would favor variables over gains.
There is quite a difference between 5026.4 and 4906.6, so omitting the 5026.4 because the 4906.6 has a better set of variables seems quite strange (even a wrong thing to do)
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6 years, 10 months ago.
Topic Details
| Forum: | Platform Support: Charts, Data & Broker Setup |
| Language: | English |
| Started: | 03/27/2019 |
| Status: | Active |
| Attachments: | 18 files |
