Portfolio Walk Forward Error. Insufficient data samples.

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wilkinsw
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Portfolio Walk Forward Error. Insufficient data samples.

Postby wilkinsw » 31 Oct 2016

insufficient data error.PNG
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This error arises almost everytime "anchored" is selected and I don't know why.

I've attached the portfolio that I was testing. I will share the instruments with MC.

Seemingly, no matter what walk forward settings (as long is anchored) I use, it triggers the error:

"none of the samples have sufficient data for optimization".

Only in a few instances has the error not been generated: e.g. when just using Eurex symbols. Also sometimes when running with a later data start date (although this doesn't always work).

The symbols have all been double checked and have data going back (1min level) to at least 2003. All symbols allow anchored walk forward testing when conducted in PT, just one instrument at a time.

I've tested this in MC9.0 and MC10.0 beta 2 with same results.

I literally have no leads at all on possible causes. Has anyone else experienced this? Any ideas whats causing it?

MC, is there any more info you need from me to recreate the issue?
Attachments
CT1 P19 1 perm 30min - WFA tests ONLY 4.pws
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JoshM
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Re: Portfolio Walk Forward Error. Insufficient data samples.

Postby JoshM » 01 Nov 2016

I literally have no leads at all on possible causes. Has anyone else experienced this? Any ideas whats causing it?
I don't know. I do see in your portfolio file (.pws) that you have a MaxBarsBack setting of just 50, so that cannot be the cause (although that would be the most likely candidate).

I also don't see other wrong settings, so if the data is there the error probably should not happen. If you perform an optimisation with the same settings for the same instrument but now on a single chart, does the error then also appear?

wilkinsw
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Re: Portfolio Walk Forward Error. Insufficient data samples.

Postby wilkinsw » 01 Nov 2016

Hi JoshM,

I can run a successful anchored WFA on just one instrument at a time (any), but not with multiple instruments (it sometimes lets me with just 2-3 instruments).

The signal shown in the example, I only optimise up to a 20 bar max value. So 50 mbb value shouldn't be an issue. In any case, it was a different signal with a much larger mbb that caused the original problem. I've just provided a pre made MC signal here, to help reproducibility.

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Henry MultiСharts
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Re: Portfolio Walk Forward Error. Insufficient data samples.

Postby Henry MultiСharts » 01 Nov 2016

Hello wilkinsw,

We are currently analyzing this case.

wilkinsw
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Re: Portfolio Walk Forward Error. Insufficient data samples.

Postby wilkinsw » 04 Nov 2016

Hi Henry,

Thanks for your help on this. The registry file you sent me worked in an MC10 32bit that I tested it on. Very much appreciated.

Unfortunately, I have to hold off using MC10 Portfolio Trader, until the default GTC TIF fill assumption is removed as it is incorrect, as I've described here:

viewtopic.php?f=1&t=50228&p=123709#p123709


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