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Open Bug report MC-1281

Differences Between Strategy Opt. / Perf. Reports Using Checkboxes

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I found this bug in v8.5 64-bit RELEASE running on Windows 7 Professional.

I am reporting this because I need to use optimization and it is hard for me to truse or even use optimization or v8.5 for that matter until it has been fixed.

The problem seems to occur selecting a sub-set of optimization parameters, using the new checkbox feature, when the other input parameters are unchecked and also different from their defaults in the strategy's code. Here's what happens: After running a genetic optimization I open a stratgegy performance report and then double click various lines in the optimization report to load those into the strategy and check the results (such as equity curve) in the strategy performance report. Unfortunatly, I noticed that many (but not all) parameter sets and all their results in the optimization report (net prof., max drawdown, etc.) do not match the performance report.

I would exepect (as seen in v8.0 release) that under no circumstances should the results in the optimization report mismatch the performance report once loaded into the strategy.

Could this be related to issue MC-1208

Steps to reproduce this issue

Import the strategy attached and compile it.

Open the workspace attached.

One chart, 2 signals, and a few studies should be pre-loaded with a set of saved parameters.

Make sure the chart has at least a year of data loaded.

Make sure the parameters for the "Debug compv7 TNA 2" signal match the .png attached. If not change them to match.

Right click on the chart and select "format signals->optimize->genetic."

Uncheck all parameters for the optimization except make sure:
are all checked and set with a start value = 2 and an end value of 20.

Click OK to run the optimization.

When the optimization finishes double click one of the lines in the optimization report to load it into the signal.

Close the optimization report, and close the format signals (Format Objects) window so the parameters from the optimization are loaded to the optimized signal can be seen on the chart.

Open a strategy performance window and navigate to "Strategy Analysis->Strategy Performance Study."

Re-open the optimization report (while keeping the performance report open)

Double click on various other parameter sets in the optimization report while watching the results being loaded into the performance report.

Most of the optimization report results will not match performance report results.

If they seem to match then repeat these steps starting from running the genetic optimization and you should see.

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Issue basics
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    Bug report
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  • Targeted for
    MultiCharts 8.5 (RELEASED)
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