Hi Joe,
Funny you should write this today. I too have been having similar problems with the WF. I was about to write a message when I came across yours.
Back in March I reported the problem to support as I was having trouble with not only custom metrics that I was trying to develop but also AB standard metrics. To date, I've have had trouble using as an Optimization Target: Net Profit, Kratio, and Ulcer Performance Index.
My problem is that the WF does not always take the "best" Optimization Target. Often it will but not always.
I originally discovered the problem while trying to develop some Custom Metrics. I even posted a message (#120147) Even though TJ approved the code the problem was the same. Below is that message.
"I've added a simple custom metric via the custom backtester interface
and while the custome metric shows up as a column in the optimization
report, it does not sort the results and find the best one--even
though I have TYPED it into the "Optimization Target" field.
Wondering if I'm missing something from my simple code below.
SetCustomBacktestProc("");
if( Status("action") == actionPortfolio )
{
bo = GetBacktesterObject();
bo.Backtest();
st = bo.GetPerformanceStats(0);
npkr = st.GetValue("NetProfit") * st.GetValue("Kratio");
bo.AddCustomMetric( "NPKR", npkr );
}"
I followed TJ's recommendations from his reply but that didn't help.
After that I discovered there was not only a problem with CM's but also Standard Metrics. I documented the problem to support but they said they could not reproduce the problem.
[#47484] Walk Forward and Optimization Target
So I dropped it for a couple of months while I worked on some other things, but am back wondering what the problem is. I've spent the last couple of days looking for problems on my end but cant' find any or don't see them.
Now, I also have release 5.10.1
Any help would be greatly appreciated.
Wade Bullock
--- On Fri, 6/13/08, Joe <j0etr4der@xxxxxxxxx> wrote:
From: Joe <j0etr4der@xxxxxxxxx>
Subject: [amibroker] Possible Problem with Walk-Forward and Custom Metrics
To: amibroker@xxxxxxxxxxxxxxx
Date: Friday, June 13, 2008, 5:25 PM
If you are using a Custom Metric as your Optimization target in the
Walk-Forward settings, you should hand-check your results. I am
frequently getting incorrect results, in that the highest value of the
Custom Metric is not the one selected by W-F for a date range.
I documented the problem in the 5.08beta to AB support on May 13th and
have not received a reply as yet.
This is the metric that is currently causing(?) the problem:
[code snippet]
ProfitMetric = ( NetProfitpc + RecFactor * 20 ) * 10 ;//make them
~equivalant
if( 0 > NetProfitpc AND 0 > RecFactor AND 0 < ProfitMetric )//if
both negative & result positive
ProfitMetric = abs( ProfitMetric );
bo.AddCustomMetric( "Profit", ProfitMetric );
[end code snippet]
Other of my metrics exhibit the same type of incorrect results in my
testing. I'm using Release 5.10.1 now, so I thought it was appropriate
to bring this to the
attention of the group.
Good trading,
Joe
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