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Forums>StrategyQuant>Application Support>weighted fitness problem

  • #258373 |
    Participant
    8 Posts

    Hello,
    I have a big problem with fitness.
    Here is my case, I check weighted fitness and use only 3 criteria.
    But during the generation I find strategies with a much higher fitness while all the criteria are worse than others …

    where is the problem ? i don’t understand…

    thanks by advance !

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    #258378
    tomas262
    Administrator
    1315 Posts

    Thanks for the report, we will need to verify this. Also do not forget to set those data columns to IS (In-Sample). The fitness value is calculated based on in-sample results not out-of-sample or full-sample

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    #258473
    Participant
    8 Posts

    thanks, but i’ve made my test without OOS.
    on build 128, whatever  i use in “compute from” the result is the same…

     

    #258474
    Participant
    8 Posts

    my fitnes is ALWAYS calculate on calmar ratio. have you the same problem ?

    #258489
    Participant
    3 Posts

    I had this exactly debate with Mark many years ago, and the problem is that, the fitness function is weighted on the trades (if i’m not wrong, is weighted over 100 trades).
    You can actually see it, strategies with high number of trades have bigger fitness function under the same evaluation criteria. Once he said me: “If you need i’ll make a custom version for you”, i think that, right now is more proper make a feature to enable or disable this limitation, open to everyone. IMHO.

    #258490
    Participant
    8 Posts

    hi, i understand but , for me, number of trade have never change anything on my fitness :/

    Not in this case, but, under 100 or over 100 trades i’ve never noticed any difference in the fitness calculation.

    Look at my problem, whatever i use as parameters , le ranking is always exactly the same of calmar ratio… :(

    #258798
    tomas262
    Administrator
    1315 Posts

    There has a been a modification done in the way the fitness value value is being stored with a strategy file. That should be available with the next SQ update. Then sorting will work as expected

    Just to let you know our forum is not an ideal place to request features and report bugs. That’s what we have our roadmap for. If you have an idea for a new feature or find an issue using StrategyQuant please use our tool to report bugs and requests: https://roadmap.strategyquant.com When reporting a bug, please, provide also your strategy .SQX and the build configuration used as a saved CFX file – if it is related to build.

     

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