Optimizing – Rank by net profit doesn’t seem to work
2 replies
nolube
8 years ago #113765
As the title suggests, just running a simple optimization and have set the ‘Strategy Selection Criteria’ to ‘Net Profit’
So I’m watching the optimization take place and here are some strategies with $16,000 odd profit. After a while I come back and the most profitable strategy is in the $12,000s and the $16,000s are no longer there. Same thing happens when i rank them by Ret/DD, the highest one is 8.5 or so, then when I come back the highest one is around 6.
Is this a bug, or am I doing something wrong?
Mark Fric
8 years ago #130854
we’ll have to look at it, it is strange that there should be a bug like this.
Mark
StrategyQuant architect
mikeyc
8 years ago #130936
The net profit shown is probably in-sample in the list of strategies, but the overview of each strategy is total profit over the complete in-sample and out-of-sample period. Perhaps this is the confusion?
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