2 Bugs in Portfolio Trader, please vote, thanks.  [SOLVED]

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andywill
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2 Bugs in Portfolio Trader, please vote, thanks.

Postby andywill » 18 Jun 2015

Hello,

when strategies are added in portfolio trader and you want to optimize them via portfolio trader you get different values in the optimization report than choosing an optimization result and then backtest it again. So the optimization in portfolio trader is misleading. The differences are huge. This must be corrected.

Just say inside every strategy you want to trade 0 or 1 contracts then optimize highest Total net profit for choosing a combination of strategies in portfolio trader with genetic optimzation. Use standard settings and you see that in the finished optimization report you get different net profits then with backtest of the chosen trading systems.

I did not save every version of Multicharts. But in the latest and the version before it is wrong calculated. There was one version before there was it correct. So it must be a bug.

Please vote here so it will be reviewed and corrected fast:

https://www.multicharts.com/pm/viewissu ... no=MC-1895

Thank you.

Second, when sometimes updates must be played into a Windows machine a restart of the machine is neccessary. When Portfolio trader is turned on you have two options. You cancel all open trades or you do not cancel them. But when you made the restart you turn on again portfolio trader and the still open orders which has not been cancelled are ignored. So again the new open orders will start when trading systems begin to automate execution and your position is doubled. Thats not intended I say. So please the trading systems in the portfolio trader should recognize if there are open orders from the same trading systems. And after a required restart of a machine no additional trading costs are produced.

Please vote here that this will be made better soon :

https://www.multicharts.com/pm/viewissu ... no=MC-1896

Thank you.

Sincerely.
Last edited by andywill on 18 Jun 2015, edited 1 time in total.

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Henry MultiСharts
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Re: 2 Bugs in Portfolio Trader, please vote, thanks.

Postby Henry MultiСharts » 18 Jun 2015

Hello andywill,

In order to analyze MC-1895 please send us the following information to support@multicharts.com:
- Portfolio workspace you are using;
- in QuoteManager select the symbol you are using, make a right click on it->Export data->Export instrument (with data). Send the Qmd export file for analysis;
- in PowerLanguage editor->File->Export->export with dependent functions the studies you are using in the workspaces you are providing. Send the study export file;
- attach screenshots demonstrating this behavior;
- specify the exact version and build number of MultiCharts are you running (in MultiCharts go to Help tab-> About).

As for the MC-1896 - that is expected behavior. When you start the auto trading - only the open position information can synchronized with the broker (direction, amount of contracts, avg entry price), active price orders placed by auto trading are not synchronized. It means you need to manually cancel the active orders at broker and auto trading will place them on the next calculation (if conditions are met in the code).

andywill
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Re: 2 Bugs in Portfolio Trader, please vote, thanks.

Postby andywill » 18 Jun 2015

Please go to MC-1895 and MC-1896. If you cannot reproduce then it is my own problem and I will look. Your solution for the second issue is not practicable for me. Sorry.

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Re: 2 Bugs in Portfolio Trader, please vote, thanks.

Postby Henry MultiСharts » 19 Jun 2015

Please go to MC-1895 and MC-1896. If you cannot reproduce then it is my own problem and I will look. Your solution for the second issue is not practicable for me. Sorry.
andywill,

Please make sure your code logic does not rely on drawings, as drawings cannot be used during optimization. Also make sure you do not use "aioptimization" reserved word in your code.
If you still have this issue - please send us the information requested in my post above so that we can study it on our end.

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Re: 2 Bugs in Portfolio Trader, please vote, thanks.

Postby andywill » 09 Aug 2015

Hello, I have tested this issue with single systems without any portfolio. Only when I have the same base currency under signal properties I get exact results with the optimization report. E.g. for USDCAD I have to choose CAD under signal properties then optimize and then the Max intraday drawdown and net profit is the same like I choose that strategy and then look this figures with the performance report. So the currency conversion is not correct. If I take USD or EUR and the base currency is different then the max intraday drawdowns are totally incorrect with the optimisation report than in performance report if a strategy is chosen. Thats why in portfolio optimisation with different base currencies you will never get correct results. So somewhere is not calculated correctly here. I hope I could help you a little bit to get a faster solution for that important issue.

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Re: 2 Bugs in Portfolio Trader, please vote, thanks.

Postby Henry MultiСharts » 10 Aug 2015

Hello andywill,

Are you able to replicate the same behavior with commission and slippage disabled?

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Re: 2 Bugs in Portfolio Trader, please vote, thanks.

Postby andywill » 10 Aug 2015

Yes. The differences of the currency conversion error does not depend on commission and slippage settings.

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Re: 2 Bugs in Portfolio Trader, please vote, thanks.

Postby Henry MultiСharts » 10 Aug 2015

andywill,

Please send us the information requested in my post #2 above so that we can study it on our end.

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Re: 2 Bugs in Portfolio Trader, please vote, thanks.

Postby andywill » 20 Aug 2015

Thank you for confirming this bug. Good to know.

https://www.multicharts.com/pm/viewissu ... no=MC-1895

I am also glad that I can help you to improve Multicharts.

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Re: 2 Bugs in Portfolio Trader, please vote, thanks.  [SOLVED]

Postby Henry MultiСharts » 23 Sep 2015

This issue has been resolved in MultiCharts 9.1 Release Candidate.


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