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Optimization Bug?

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OceanOnline

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5 years ago #114979

Mark I am getting different results when i retest a strategy (“Retest Strategies”) as well as when I run Simple Optimization in “Optimizer” for the same Data, Parameters, time frame, test precision, MM, everything…

 

Is there something I need to consider before running the optimizer? I guess we need to reset all parameters to start in the settings even if we dont use them?

 

Please help.

 

Thanks

Marcus

File: SQ1.pngSQ1.png
File: SQ2.pngSQ2.png
File: SQ3.pngSQ3.png
File: SQ4.pngSQ4.png

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geektrader

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5 years ago #136262

In your pictures the strategy “Original strategy” has the exact same results as in the Retester picture, which is absolutely what it is supposed to do. So why exactly do you say the original strategy gives different results in both? Of course all the optimized variations of it will have different profit / drawdown etc, that´s exactly what the optimizer is for.

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OceanOnline

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5 years ago #136264

Hi geektrader, think I found the answer. I have got different results between a) testing the original strategy in the Retester and B) loading the exact same strategy in the Optimizer running a simple optimization and trying to find the OPTIMIZED result which was produced using the same paramter settings as the original strategy. In the second picture the list shows the original strategy all the time but it is left untouched.

 

The problem I had is that after the optimization I wanted to see an optimized strategy which had the same input parameters and results than the original one. Yes this is not how you would intend to use the Optimizer but I wanted to make sure the Optimizer works correctly before I would use it to perform the WFM.

 

What I found out is that before you would set the parameters to optimize a strategy you would need to “Set Start to the Original value”. If you will forget, than the optimization run is performed to all other parameters different than the original parameters settings too, no mattter if you ticked one parameter for reoptimization or not.

 

@ Mark, do you know why this is the case? Shouldn´t only the ticked parameters get optimized?

 

 

 

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geektrader

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5 years ago #136266

Yes, I understand what you mean, but that´s exactly how the optimizer is intended to work. That feature gives extra flexibility this way and should not be removed. Of course you must set the values that you not optimized to the original one, otherwise that one will be used during the optimization.

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