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OptimialF values in .fac file mostly zero #474480
10/18/18 17:48
10/18/18 17:48
Joined: May 2018
Posts: 134
S
SBGuy Offline OP
Member
SBGuy  Offline OP
Member
S

Joined: May 2018
Posts: 134
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:

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


Re: OptimialF values in .fac file mostly zero [Re: SBGuy] #474486
10/19/18 07:34
10/19/18 07:34
Joined: Jul 2000
Posts: 27,977
Frankfurt
jcl Offline

Chief Engineer
jcl  Offline

Chief Engineer

Joined: Jul 2000
Posts: 27,977
Frankfurt
The list looks ok. OptimalF factors just are like that when you have not enough trades for a more accurate result, What they are and how they are used is explained briefly in the manual and in detail in Vince's books.

Re: OptimialF values in .fac file mostly zero [Re: jcl] #474491
10/19/18 16:22
10/19/18 16:22
Joined: May 2018
Posts: 134
S
SBGuy Offline OP
Member
SBGuy  Offline OP
Member
S

Joined: May 2018
Posts: 134
I see. Maybe OptimalF doesn't work for options strategies because there are only few trades per year, per asset.

Re: OptimialF values in .fac file mostly zero [Re: SBGuy] #474492
10/19/18 18:47
10/19/18 18:47
Joined: May 2018
Posts: 134
S
SBGuy Offline OP
Member
SBGuy  Offline OP
Member
S

Joined: May 2018
Posts: 134
upon more testing, I am getting different OptF values in the .fac file and the performance report (after testing). Shouldn't they be the same? Printf of OptimalF in Test shows 0.00.

I even set(ALLCYCLES).

Any further thoughts? Thanks.

from .fac
Code:
AAPL:SellPut        .000  2.98    9/3    100.0
AAPL:SellPut:L      .000  ----    0/0      0.0
AAPL:SellPut:S      .000  2.98    9/3    100.0



from performance report
Code:
Portfolio analysis  OptF  ProF  Win/Loss  Wgt%  Cycles

AAPL:SellPut        .199  2.98    9/3    100.0  /.//./\
AAPL:SellPut:L      .000  ----    0/0      0.0  ........
AAPL:SellPut:S      .199  2.98    9/3    100.0  /.//./\



Moderated by  Petra 

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