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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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Joined: Jun 2013
Posts: 1,609
DdlV
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OP
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Joined: Jun 2013
Posts: 1,609
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Thanks jcl. The veil has lifted a little, but of course that leads to more thoughts/questions... 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!
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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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Joined: Jun 2013
Posts: 1,609
DdlV
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Thanks jcl. I was hoping to save some of that effort if the answer is already known. 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.
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Re: Training Z strategy with different AssetsFix.csv
[Re: DdlV]
#469682
12/01/17 07:56
12/01/17 07:56
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Joined: Jul 2000
Posts: 27,986 Frankfurt
jcl
Chief Engineer
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Chief Engineer
Joined: Jul 2000
Posts: 27,986
Frankfurt
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