Best way to run a population of strategies? Can WFO engine do it?

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tpredictor
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Best way to run a population of strategies? Can WFO engine do it?

Postby tpredictor » 24 Apr 2021

On my blog, I recently shared my Proven Winner 'WFO' conception. The core idea is that I might want to pick the strategy (set of parameters) that performs relatively best but only among a population of proven strategies. I guess one way to do this would be to open up a bunch of strategies on charts and use the global dictionary to communicate among them?

The other way method might be to use the built-in WFO capabilities. But, I need a way to constrain the optimizer to discrete "sets" of inputs. For example, I might have a strategy with parameters: 1,2,3 and another with 2,3,5. Is it possible to give the optimizer the strategy sets? In this usage example, the optimizer should not generate any combinations but only evaluate performance on the sets/systems I provide.

The benefit if I can use the optimizer is that I won't need to open up tons of charts.

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joebone
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Re: Best way to run a population of strategies? Can WFO engine do it?

Postby joebone » 24 Apr 2021

I have experimented with this. My solution was to build a Function that calculated and output the Net_Profit-Net_Profit[X] of each setting then use a single signal for all possible sets. Only trading the best one at that time.

I believe you could do this with a WFO and a Custom Fitness Value but my main problem with the WFO is the MaxBarsBack. If your signal needs a long calculation period then it will chew up your out of sample space and will appear to significantly reduce profit in your OOS area. For this reason I don't use WFO on signals that require a long calculation period.

tpredictor
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Re: Best way to run a population of strategies? Can WFO engine do it?

Postby tpredictor » 24 Apr 2021

@Joebone So, let me understand are you using a virtual position tracking method? That's the other obvious way but it requires the strategy to be somewhat simple in implementation.

So let's break down:

(1) Virtual position tracking
(2) Multi-strategies on charts with global dictionary? communication or output to file
(3) Somehow take advantage of the optimization engine

tpredictor
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Re: Best way to run a population of strategies? Can WFO engine do it?

Postby tpredictor » 24 Apr 2021

I should have realized it sooner: as I should of known from machine language, add a level of indirection! I will publish the solution at my blog if that's not enough for you. I published the solution here Proven Winner WFO


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