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Re: Training Z strategy with different AssetsFix.csv
[Re: jcl]
#469437
11/15/17 22:01
11/15/17 22:01
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Joined: Jun 2013
Posts: 1,609
DdlV
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Then *sigh* I'm confused again.  Why when I Train or reTrain Z3 do I only get the Z3.par file and not the Z3_n.par files? I suppose it's because Z3 has the PARAMETERS flag OFF? Thanks.
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Re: Training Z strategy with different AssetsFix.csv
[Re: jcl]
#469439
11/16/17 06:08
11/16/17 06:08
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Joined: Jun 2013
Posts: 1,609
DdlV
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Thanks for confirming, jcl! Moving on... The published ~85% AR is produced using the included AssetsFix.csv. For Z3, the pertinent lines are:
Name,Price,Spread,RollLong,RollShort,PIP,PIPCost,MarginCost,Leverage,LotAmount,Commission,Symbol
NAS100,4185,2,-0.1,0,1,0.0871,2,0,0.1,0,
SPX500,2032.4,0.5,-0.5,0,0.1,0.0871,8,0,1,0,
US30,17520,2,-0.5,0,1,0.0871,6,0,0.1,0,
XAG/USD,17.235,0.046,-0.0009,0,0.01,0.43547,5,0,50,0,
XAU/USD,1260.82,0.47,-0.0124,0,0.01,0.00871,11,0,1,0,
My AssetsFix.csv unchanged from the Download script Tests to ~30% AR (& other metrics reduced as well):
Name,Price,Spread,RollLong,RollShort,PIP,PIPCost,MarginCost,Leverage,LotAmount,Commission,Symbol
NAS100,6295.60,1.00000,0.1700,-.3400,1.0000,0.100000,3.5000,179.874,1.0,0.000,NAS100
SPX500,2578.17,0.50000,0.1200,-.6300,0.1000,0.100000,14.0000,184.155,1.0,0.000,SPX500
US30,23388.50,2.0000,-.0700,-.3300,1.0000,0.100000,13.0000,179.912,1.0,0.000,US30
XAG/USD,17.0470,0.04300,-.0100,-.0020,0.0100,0.500000,9.0000,94.706,50.0,0.000,XAG/USD
XAU/USD,1279.15,0.39000,-.0100,0.0000,0.0100,0.010000,7.0000,182.736,1.0,0.000,XAU/USD
I don't see values that differ by an order of magnitude. From the Test log, the trades start out the same, but the trade volumes are different. Thereafter, the trades taken differ somewhat, but the different trade volumes continue... Does anything leap out at you explaining the drastic reduction in AR (& other metrics)? If not, what would the procedure be to determine what's going on? Thanks.
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Re: Training Z strategy with different AssetsFix.csv
[Re: jcl]
#469450
11/16/17 18:33
11/16/17 18:33
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Joined: Jun 2013
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DdlV
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Yes, 30% AR is not bad.  But I think it's important to understand what's going on and why simply changing the Assets parameters seemingly for the better gives a worse backtest... Comparing the base Transaction costs -1007$ spr, -507$ slp, -655$ rol to my AssetsFix.csv's Transaction costs -1569$ spr, -935$ slp, -2028$ rol shows Spread ~50% worse, Slippage almost doubled, & Roll more than tripled. I don't see that the differences in Assets parameters directly accounts for this... The base Portfolio analysis
Portfolio analysis OptF ProF Win/Loss Wgt% Cycles
NAS100 avg .068 2.32 22/19 37.9 \///////
SPX500 avg .000 0.60 7/11 -13.8 ///....
US30 avg .056 2.23 22/16 37.2 //////./
XAG/USD avg .020 1.74 17/17 51.1 ////X/X..
XAU/USD avg .000 0.61 12/24 -12.5 .X/X..//
becomes
Portfolio analysis OptF ProF Win/Loss Wgt% Cycles
NAS100 avg .149 4.32 16/10 73.7 ///.//////
SPX500 avg .025 1.28 10/14 11.5 ///../..
US30 avg .105 2.22 22/15 41.8 //////./
XAG/USD avg .004 1.10 18/24 15.5 /X/XXX..
XAU/USD avg .000 0.67 9/23 -42.6 .XX/..//
and again I don't see a direct cause. There is an indirect cause in that my AssetsFix.csv causes larger trades, which causes different trades to be taken. Could the optimization for one trading pattern not work for another? Since I cannot, could you Train Z3 using my AssetsFix.csv and see what results? Thanks.
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Re: Training Z strategy with different AssetsFix.csv
[Re: jcl]
#469469
11/17/17 10:05
11/17/17 10:05
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Joined: Jun 2013
Posts: 1,609
DdlV
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Thanks both! @MatPed: There's so much about this I don't fully understand yet... I hadn't even really gotten to the OptF's on the belief that they're driven by the backtest results... @jcl: a) Isn't it more complicated than that? I.e., the trades taken aren't exactly the same, so while more leverage is involved that doesn't a priori mean bad (-12.5) must become worse (-42.6). F.i., SPX500 changed from losing (-13.8) to winning (11.5). Wouldn't optimizing using the different AssetsFix.csv therefore produce different results than using the leverage 100 values on a leverage 200 account? b) Finally getting to OptF's , would the 0 OptF for XAU prevent it being Traded and therefore Trade would give better results than the Tested 30% AR (which includes the XAU loss)? Thanks.
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