1) In WFO, how do i assign Preferred Values based on "Highest Metric Value Per Symbol" from in-sample optimization to out-of-sample run?
--> This is really important because the Optimization results are very different for Per-Symbol PVs and Average PVs, and all my WFO results are poor across several well-performing strategies (likely has to do with Average PVs being used).

2) Which parameter values from "in-sample" runs are applied currently? It seems like the "Highest Metric Value Averaged Across All Symbols".

3) Does pressing the PV button (in lower right corner of WFO screen) have any impact on which preferred values are assigned?

4) Separate question - How do i retrieve the "per-symbol assigned preferred values" in Optimization Results or WFO Results (as a table), without having to run a separate backtest on each symbol and checking the Strategy Parameters sliders in the lower-left window.

thanks
Kiran

First, let's specify that you're performing an optimization in Raw Profit mode. (Per symbol statistics aren't available in Portfolio Simulation mode.) And, as specified in the User Guide: Strategy Window > Optimization > Walk-Forward Optimization > Results... When performing a WFO on a DataSet in Raw Profit mode, metrics return the average values for the group, i.e., all symbols under test.. On to the questions...

1. You cannot assign Preferred Values based on "Highest Metric Value Per Symbol" in WFO. The idea would be to double click on the "Current" interval in the WFO Results to open the Strategy in Full Optimization (FO) mode, perform the optimization in RP mode, and then apply your PVs as required.

Let's remember that WFO is a backtesting mode. It shows a more realistic use of how optimization results could have been applied. To go forward, there isn't a need to "Walk Forward" again. Just do a FO on whatever the current interval would be to find and assign the current set of PVs.

2. In Raw Profit mode, that's correct, by design.

3. Maybe it's just semantics, but the PV button applies the PVs that have already been "assigned" or "set". It doesn't (or should not) have any affect during an actual optimization.

4. Since we've established that distinct per symbol assignments aren't possible for WFO, the question would focus on how to do that for a FO. PVs are stored in the Strategy's XML file in the <PreferredValues> tag. Putting that into a table format could be a small challenge though.

Per-symbol PVs in WFOs would be an extremely useful feature to add, because it's very tedious to optimize and backtest each period in the WFO, especially as you increase the number - please consider adding this in the standard product.

-> Is there a straightforward way we can extend the code in WFO to support this?

Also, pl. consider assigning per-symbol PV in the portfolio-sim optimization - is there a technical reason that portfolio sim optimization only supports Average values and not per-symbol values?

thanks
Kiran

Once you assign PV and activate the PV button, I was under the impression the Port Sim mode picks up the PVs anyway, doesn't it? If not, what does clicking on the PV button in PortSim mode do?

The PVs are picked up by the Strategy window, not by optimizer. Cone has already answered that:

QUOTE:
3. Maybe it's just semantics, but the PV button applies the PVs that have already been "assigned" or "set". It doesn't (or should not) have any affect during an actual optimization.