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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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