Preferred Values in Strategy Monitor (SM)
Author: piter99
Creation Date: 4/7/2013 1:26 PM
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piter99

#1
Please explain:
1. If I can use assigned to parameters Preferred Values in SM.
In open issue # 96929 you mention "custom value". Is it same as preferred value? Is any workaround to use
"Preferred Values based on the highest metric value per symbol" because manually change default value even for 100 symbols is not possible?
From my testing on 370 symbols using "Preferred Values based on the highest average value per symbol" shows much worse results compared to "highest metric value per symbol", e.g.:
Using original parameters: Net Profit- $5600, Profit/bar - $0.91.
After optimization: MC, settings 20:10, highest value, profit/bar.
Assign Avg values: Net Profit- $600, Profit/bar - $0.17.
Assign Max. values: Net Profit- $48200, Profit/bar - $23.71.
About same numbers for Genetic optimizer.
2. Maybe be something wrong with my testing???

Thank you in advance.
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Eugene

#2
In 6.4.52, the SM ignores strategy parameters set in "Strategy Activation Settings", always falling back to the Strategy's default strategy parameter values. This bug 96929 is critical and should be fixed in upcoming 6.4 patch release.

Re: Preferred Values, please review the User Guide chapter "Preferred Values".
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Eugene

#3
QUOTE:
From my testing on 370 symbols using "Preferred Values based on the highest average value per symbol" shows much worse results compared to "highest metric value per symbol", e.g.:


Well, there's big difference between a) using "optimal" values for each symbol obtained individually and b) combining them in a multi-symbol backtest. There's nothing wrong: it's just two different kind of backtests.
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piter99

#4
Thanks and is any explanation why profit/bar with "Avg. PV" much worse after optimization than original parameters?
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Eugene

#5
You did not indicate which position sizing are in use. The first option, "highest value per symbol", can be used in both RP or Port. Sim. modes whereas "highest average value per symbol" is only available in RP mode (so it's not a true portfolio backtest).

As I already said, combining 370 individual symbols - each using an optimal parameter value - into a portfolio backtest absolutely does not guarantee that the resulting mix is an instant winner.
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piter99

#6
Thank again, will waiting for fix. I hope this gets resolved soon.
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Eugene

#7
Don't quote me on that, but the patch may become available shortly.
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Eugene

#8
The patch has been released. Note: New version of WL --> 6.4.62.0
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