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Re: Training Z strategy with different AssetsFix.csv [Re: DdlV] #469540
11/20/17 10:30
11/20/17 10:30
Joined: Jul 2000
Posts: 27,977
Frankfurt
jcl Offline

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jcl  Offline

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Posts: 27,977
Frankfurt
No, optimizing has nothing to do with leverage. It affects entry and exit points, not the trade volume.

Z3 does not use OptimalF. But I would in this case indeed remove the overweight XAU completely from the portfolio. Use the exclude setting in Z.ini for this.

Re: Training Z strategy with different AssetsFix.csv [Re: jcl] #469547
11/20/17 17:56
11/20/17 17:56
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DdlV Offline OP
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DdlV  Offline OP
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Thanks jcl.

The veil has lifted a little, but of course that leads to more thoughts/questions... laugh

Re. Optimizing & Leverage:

Leverage determines trade size, and hence affects trade mix, and hence system results. Optimization is working at the individual trade level to maximize individual trade results. But is this an inherent restriction? Couldn't optimization also be used at a "higher" level and affect the trade mix?

Re. Excluding Asset(s):

I will of course try this, but for the benefit of other readers, will Test then run w/o that Asset(s)?

Similarly, for the Cold Blood Index feature to work, do I need to (re)Test with the Asset(s) excluded to get a corrected DBL file?

Thanks!

Re: Training Z strategy with different AssetsFix.csv [Re: DdlV] #469573
11/22/17 15:00
11/22/17 15:00
Joined: Jul 2000
Posts: 27,977
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jcl Offline

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jcl  Offline

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Joined: Jul 2000
Posts: 27,977
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Optimizing a portfolio mix is a difficult question. There are several methods for that, but at the moment Z3 just applies equal margin to all components.

Yes, you need to test with the same assets as in trading for the CBI to work.

Re: Training Z strategy with different AssetsFix.csv [Re: jcl] #469576
11/22/17 16:51
11/22/17 16:51
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DdlV Offline OP
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Thanks jcl.

I gather, then, that none of the Z Strategies attempt to optimize trade/portfolio mix?

Which Z Strategies use OptF? (Or alternatively, which do not and hence need to have Assets manually excluded?)

Thanks.

Re: Training Z strategy with different AssetsFix.csv [Re: DdlV] #469580
11/23/17 07:52
11/23/17 07:52
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jcl Offline

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jcl  Offline

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Z1, 2, and 12 use OptimalF.

Re: Training Z strategy with different AssetsFix.csv [Re: jcl] #469615
11/25/17 00:05
11/25/17 00:05
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DdlV Offline OP
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Thanks jcl.

Perhaps this would be a good addition to the manual?

Something like: When implementing or updating and Test using your own Broker's AssetFix.csv data gives a very different result from what's posted in the manual (and not Z1, Z2 or Z12), then one should look for the Asset(s) causing the variation, exclude it/them, reTest, and copy the .dbl file to the Trading system...

Thanks.

Re: Training Z strategy with different AssetsFix.csv [Re: DdlV] #469626
11/25/17 19:25
11/25/17 19:25
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DdlV Offline OP
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Hi jcl.

Another suggestion & question:

Suggestion: When Trade is started, print in the window & log any Assets Excluded. Excluded Assets can be determined in Test from the Performance Report, but in Trade I don't see any confirmation of the Exclude - is it there and I just missed it?

Question: Z3 Test with the underperforming XAU/USD Excluded shows better results, but still nowhere near the results of the lower leverage account. Obviously I can compare trade by trade to see what's being taken vs. missed; but I'd prefer to start by understanding things at a higher level. Is it a correct understanding that strategies are also leverage dependent? I.e., strategies in general work only at certain leverage values/ranges because as leverage changes it changes the trade mix?

Thanks.

Re: Training Z strategy with different AssetsFix.csv [Re: DdlV] #469665
11/29/17 11:59
11/29/17 11:59
Joined: Jul 2000
Posts: 27,977
Frankfurt
jcl Offline

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jcl  Offline

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Posts: 27,977
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I believe only the flags are printed at start, but of course we can also add the exclude list. For different results, the first thing I'd check are trading costs and max margin, next are the separate asset results. If none of them gives a clear indication what's different, then you must indeed go trade by trade through the log.

Re: Training Z strategy with different AssetsFix.csv [Re: jcl] #469666
11/29/17 17:48
11/29/17 17:48
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DdlV Offline OP
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Thanks jcl.

I was hoping to save some of that effort if the answer is already known. laugh Or at least better target the investigation...

Summary of what I think I experienced, so far: A Strategy's results are directly influenced by the account Leverage (only - nothing else was changed). Different Leverage gives a different trade mix and the results will be different, sometimes dramatically. Nothing is "wrong" per se, and individual trades remain optimized per the Train. But the mix difference means less (or un-) profitable Assets may end up being traded more than the more profitable one(s). Excluding an unprofitable Asset(s) does not return the Strategy to the original Leverage's results.

In that context, are either or both of these true?

a) A difference in Leverage should not change the Test trade mix! There is some problem which needs to be identified!

b) If an Asset(s) are Excluded, the Strategy must be reTrained since different trades will be taken for the non-Excluded Assets. Using the prior optimization values will lead to different Test results.

Thanks.

Re: Training Z strategy with different AssetsFix.csv [Re: DdlV] #469682
12/01/17 07:56
12/01/17 07:56
Joined: Jul 2000
Posts: 27,977
Frankfurt
jcl Offline

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jcl  Offline

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A) I don't know, B) no.

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