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Forums>StrategyQuant>Application Support>Optimizer not ordering results correctly?

  • #114987 |
    Customer
    557 Posts

    Hi,

     

    I’m optimizing a strategy (simple optimization) and the fitness is not reflecting the criteria selected.

     

    Below I have selected net profit (as fitness criteria):

     

    Giq9h.jpg

     

    As you can see, fitness is sorted descending, and profit is not highest to lowest.  Have tried other criteria (e.g. Ret/DD) same problem,

     

    Any ideas what’s happening here?

     

    Thanks,

     

    Mike

    #136311
    Customer
    484 Posts

    The fitness is ordered correctly. If you want profit from highest to lowest use net profit for fitness, or sort by net profit.

    #136314
    Customer
    557 Posts

    The fitness is ordered correctly. If you want profit from highest to lowest use net profit for fitness, or sort by net profit.

     

    The fitness was set to net profit, therefore the fitness should reflect the highest profit to the lowest profit, but it does not. 

    #136317
    Customer
    484 Posts

    Definitely bug then. Never had this happen before btw.

    #136323
    Customer
    432 Posts

    Nope, not here as well, it´s all right. Are you sure you did only check Net Profit and put a weight of 1 to it? The list is long there in the weighted fitness settings and can be scrolled! Make sure there is nothing else than Net Profit checked and post again if this still happens to you then. Because here, it sorts it just fine if I ONLY check Net Profit for the weighted fitness.

    #136340
    Moderator
    1559 Posts

    When I optimize using Net Profit, SQ sorts correctly using fitness function value. Can you attach the strategy? Do you optimize all the parameters?

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    #136341
    Customer
    432 Posts

    Yes, same here. I am sure he has another target ticked under the weighted fitness, not just Net Profit. Since the list there is scrollable, that can easily happen.

    #136351
    Customer
    557 Posts

    It’s not a user error, I’ve selected Net Profit using the radio button, not weighted fitness and tried all the other options. Sort order is wrong no matter what is selected. I have checked this carefully.

    Now, what is different is the data source. It is US30 (Dow index) and if I import M1 bars it says the timeframe is “intraday”. So I guess there’s something gappy about the data or something. In the end I replaced the data with tick data, but I suspect the tick data has gaps where the market is closed during the day.

    For example, one broker lists it trading hours as

    I’ve never seen this sort order issue before, only on strategies produced on this index data, so maybe the issue lies there somewhere?

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