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Open Bug report MC-1198

Strategy optimizer results show inaccurate net profit

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Description

when a strategy scales in and out of a position (trading around a core) the optimization report considers the net profit to only be the profit of the initial trades not subsequent ones added and scaled out of. 
the strategy performance report however displays the P&L properly.
see http://www.multicharts.com/discussion/download/file.php?id=5389
net P&L is the same for all, 13,XXX iterations
net profit is actualy:

http://www.multicharts.com/discussion/download/file.php?id=5393

and

http://www.multicharts.com/discussion/download/file.php?id=5390

Steps to reproduce this issue

load the attached strategy onto any futures contract and optimize
for size's just use 1 
for draws use values -1000 to -10  step of 10
not the difference between the optimization report and the strategy report

Comments (6)
#0
user-offline.png  Ulich05 (Ulich05)
Dec 17, 2012 - 16:43

also applies to MC 8.5 beta 1

#0
user-offline.png  Alex MultiCharts (Alex MultiCharts)
Dec 21, 2012 - 07:41

Please send us your workspace to let us reproduce the issue on our end.

#0
user-offline.png  Ulich05 (Ulich05)
Dec 21, 2012 - 12:23
#0
user-offline.png  Ulich05 (Ulich05)
Jan 10, 2013 - 20:25

Was this fixed in the 8.5 beta 2 build 6525? I ask because i was able to run an optimization 2 times and received the correct net profit and # of trades. Then it suddenly stopped reporting properly and reverted to the prior issue of seemingly ignoring additional closed out trades after the initial position was taken.

#0
user-offline.png  Ulich05 (Ulich05)
Jan 13, 2013 - 23:09

I think i figured out what's happening now, on the attached eld (same one as before) the optimizer isn't passing through the contract size consistently. If the current values are set to 1 contract on the chart and you go to the optimizer the current value is 1, min 1 max 1 step 1 it should pass thru 1 contract as the size for the additional possitions on optimization. However I think its actually passing the additional positions as 0 for the contract size. 
You can then cancel out of the failed optimzation (you'll notice when it's not working properly because the profit factor value will be way too low) and set the contract values to min 1 max 2 step 1 and re-run the optimization and it'll start passing through the correct # of contracts for each iteration from 1 to 2.
When using that method to unfreeze the 0 contract size, I have not been able to get it to report net profit or # of trades incorrectly which is good news.

#0
user-offline.png  Ulich05 (Ulich05)
Jan 13, 2013 - 23:10

the below comment pertains to the 8.5 beta 2 bld 6525

History
Issue basics
  • Type of issue
    Bug report
  • Category
    Usability
  • Targeted for
    MultiCharts 8.5 (RELEASED)
  • Status
    Released
  • Priority
    Not determined
User pain
  • Type of bug
    Not triaged
  • Likelihood
    Not triaged
  • Effect
    Not triaged
Affected by this issue (2)
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  • Posted at
  • Last updated
Issue details
  • Reproducability
    Not determined
  • Severity
    Critical
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