WFA: recommended inputs: where are they displayed?

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wilkinsw
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WFA: recommended inputs: where are they displayed?

Postby wilkinsw » 08 Apr 2019

Hi MC,

In a previous locked thread Henry mentions an extra run carried out at the end of an WFA to deduce live inputs for live trading.

viewtopic.php?f=1&t=51803&p=131663#p131711
After the last run the optimization is done once again on a data series equal to IS (or the complete data range for Anchored). The last WFA bar is matching the last bar of the data series. As the result of this optimization the Recommended set of inputs is displayed.
Your chart is the OOS for the recommended parameters.
When you apply them to signals – they are backtested with these recommended inputs on your chart.
I can't find where these recommended inputs (the inputs to be used for live trading) are displayed on my WFA reports. Can someone show me exactly where I should be looking (share a pic or something) please?

And how do I select these inputs for use in PT?

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Anna MultiCharts
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Re: WFA: recommended inputs: where are they displayed?

Postby Anna MultiCharts » 08 Apr 2019

Hello, wilkinsw!

I’m afraid there’re no recommended inputs for Portfolio Trader. This feature was introduced for the reworked optimization in MultiCharts 12 for the charts only. Optimization in Portfolio is the same as in MultiCharts 11.
Attached is the comparison pic.
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recommended inputs.png
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wilkinsw
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Re: WFA: recommended inputs: where are they displayed?

Postby wilkinsw » 09 Apr 2019

Hi,

Too many (almost double) the number of runs are being estimated for PT WFAs akin to MC. I reported the issue here:

viewtopic.php?f=1&t=51803&p=131727#p131716

In MC12, it looks like PT is doing the same extra cycle as per MC to derive final optimal inputs, no? Just that the "Apply" button and inputs are missing.

When are bugs in PT optimizations being fixed? Also curious as to why changes to PT seem to significantly lag MC?

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Re: WFA: recommended inputs: where are they displayed?

Postby wilkinsw » 11 Apr 2019

There's also strange behaviour when the PT WFA finishes:

If you close the WFA report and enter the inputs of the last IS run (then maybe extend the end date, like I do), then run a backtest: The resultant performance report doesn't equate to the inputs.

If you save that PT file and then reopen it, and rerun the backtest, the performance report now equates to the inputs.

No idea what's going on there. But performance reports not relating to inputs is far from desirable behaviour. I've had to go through months of work and rerun these backtests, as most saved PT peformance reports were bogus.

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Anna MultiCharts
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Re: WFA: recommended inputs: where are they displayed?

Postby Anna MultiCharts » 11 Apr 2019

Too many (almost double) the number of runs are being estimated for PT WFAs akin to MC. I reported the issue here:

viewtopic.php?f=1&t=51803&p=131727#p131716
...
When are bugs in PT optimizations being fixed?
We are still working on the reported cases internally. If any issues are confirmed – they will be fixed in MultiCharts 13.
In MC12, it looks like PT is doing the same extra cycle as per MC to derive final optimal inputs, no? Just that the "Apply" button and inputs are missing
Yes, portfolio also performs an extra run, but it lacks the new interface and therefore no Apply button. The changes to the portfolio optimization are planned for the future versions of MultiCharts, but unfortunately there’s no ETA yet.
If you close the WFA report and enter the inputs of the last IS run (then maybe extend the end date, like I do), then run a backtest: The resultant performance report doesn't equate to the inputs.

If you save that PT file and then reopen it, and rerun the backtest, the performance report now equates to the inputs
Please specify the exact Build number of MultiCharts that you’re currently running: Help -> About MultiCharts.

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Re: WFA: recommended inputs: where are they displayed?

Postby wilkinsw » 11 Apr 2019

I believe MC12 17490.

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Re: WFA: recommended inputs: where are they displayed?

Postby wilkinsw » 12 Apr 2019

Can MC provide a way to turn off the final additional IS run please?

It is redundant anyway in PT as users can't view the resultant inputs from this run.

It also can add a lot of time to a WFA; especially an anchored PT WFA.

I would really appreciate a regedit/patch for this.

Thanks,

Will

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Anna MultiCharts
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Re: WFA: recommended inputs: where are they displayed?

Postby Anna MultiCharts » 16 Apr 2019

wilkinsw,
There's also strange behaviour when the PT WFA finishes:

If you close the WFA report and enter the inputs of the last IS run (then maybe extend the end date, like I do), then run a backtest: The resultant performance report doesn't equate to the inputs.

If you save that PT file and then reopen it, and rerun the backtest, the performance report now equates to the inputs.

No idea what's going on there. But performance reports not relating to inputs is far from desirable behaviour. I've had to go through months of work and rerun these backtests, as most saved PT peformance reports were bogus.
Please update to the latest release because a bug that matches your description was fixed in it. If this doesn't help provide a step-by-step instruction for reproducing this on our end, e.g: perform the 1st optimization -> find the required IS date in the report -> perform the 2nd optimization with the new set of parameters, etc.
Also attach the following:
- your portfolio workspace for the first optimization;
- screenshots of the changes made for the second optimization;
- the portfolio workspace for the second optimization with the new parameters saved;
- export of data for all instruments used in the workspaces in QMD format: https://www.multicharts.com/trading-sof ... rting_Data;
- export of testing signals.
Also please let us know if the same can be replicated in the Offline mode.
Can MC provide a way to turn off the final additional IS run please?

It is redundant anyway in PT as users can't view the resultant inputs from this run.

It also can add a lot of time to a WFA; especially an anchored PT WFA.

I would really appreciate a regedit/patch for this.
I’m afraid there’s no patch or registry key for this at the moment, but our developers might be able to come up with some improvements in this respect in MultiCharts 13.


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