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Optimizing – Rank by net profit doesn’t seem to work

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nolube

Customer, bbp_participant, community, 115 replies.

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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?

 

 

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Mark Fric

Administrator, sq-ultimate, 2 replies.

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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

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mikeyc

Customer, bbp_participant, community, 877 replies.

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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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