Posted By: SBGuy
OptimialF values in .fac file mostly zero - 10/18/18 17:48
Just started playing with OptimalF to allocate money in a portfolio strategy.
I set(FACTORS+PARAMETERS) and trained the strategy.
The .fac file below appears to show enough win/loss trades to create a positive OptF value for the assets, but it doesn't.
Furthermore, there are several 0.999 values. The formula below would overallocate more money than I have because there are five (5) .999 OptF entries there.
Margin = 0.5 * OptimalF * Capital;
My .fac file:
I set(FACTORS+PARAMETERS) and trained the strategy.
The .fac file below appears to show enough win/loss trades to create a positive OptF value for the assets, but it doesn't.
Furthermore, there are several 0.999 values. The formula below would overallocate more money than I have because there are five (5) .999 OptF entries there.
Margin = 0.5 * OptimalF * Capital;
My .fac file:
Code:
AAPL:SellPut .000 2.98 9/3 23.5 AAPL:SellPut:L .000 ---- 0/0 0.0 AAPL:SellPut:S .000 2.98 9/3 23.5 AMGN:SellPut .001 3.13 6/1 7.3 AMGN:SellPut:L .000 ---- 0/0 0.0 AMGN:SellPut:S .001 3.13 6/1 7.3 HPE:SellPut .000 0.12 1/6 -2.5 HPE:SellPut:L .000 ---- 0/0 0.0 HPE:SellPut:S .000 0.12 1/6 -2.5 IR:SellPut .000 0.69 5/2 -2.6 IR:SellPut:L .000 ---- 0/0 0.0 IR:SellPut:S .000 0.69 5/2 -2.6 MA:SellPut .999 ++++ 6/0 18.4 MA:SellPut:L .000 ---- 0/0 0.0 MA:SellPut:S .999 ++++ 6/0 18.4 MKC:SellPut .137 133.33 5/1 9.0 MKC:SellPut:L .000 ---- 0/0 0.0 MKC:SellPut:S .137 133.33 5/1 9.0 MSFT:SellPut .000 1.33 7/4 4.7 MSFT:SellPut:L .000 ---- 0/0 0.0 MSFT:SellPut:S .000 1.33 7/4 4.7 MTCH:SellPut .006 4.42 6/4 5.6 MTCH:SellPut:L .000 ---- 0/0 0.0 MTCH:SellPut:S .006 4.42 6/4 5.6 PAYX:SellPut .001 1.48 3/3 1.4 PAYX:SellPut:L .000 ---- 0/0 0.0 PAYX:SellPut:S .001 1.48 3/3 1.4 UBNT:SellPut .017 51.10 6/1 26.1 UBNT:SellPut:L .999 ++++ 1/0 0.2 UBNT:SellPut:S .017 50.76 5/1 25.9 VIG:SellPut .999 ++++ 2/0 2.4 VIG:SellPut:L .000 ---- 0/0 0.0 VIG:SellPut:S .999 ++++ 2/0 2.4