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Open Bug report MC-1895

Optimization according fitness function in Portfolio Trader is wrong compared to backtesting results

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when strategies are added in portfolio trader and you want to optimize them via portfolio trader you get different values in the optimization report than choosing an optimization result and then backtest it again. So the optimization in portfolio trader it totally misleading. They differences are huge. This must be corrected, because it is a bug. The calculation is wrong here.

Steps to reproduce this issue

Just say inside every strategy you want to trade 0 or 1 contracts then optimize highest Total net profit for choosing a combination of strategies in portfolio trader with genetic optimzation. Use standard settings and you see that in the finished optimization report you get different net profits then with backtest of this chosen trading systems.

Comments (2)
user-offline.png  Andy (andywill)
Jun 18, 2015 - 20:17

I think it is a common problem, because with Forex data I notice it is independent from data, broker or trading system. Reproduction should be easy. There must be just one input to say how many contracts will be traded and then only this input will be optimized between 0 and 1 for all trading systems in portfolio trader.

user-offline.png  AdamB (Guest)
Aug 09, 2015 - 08:48

Hello, I have tested this issue with single systems without any portfolio. Only when I have the same base currency under signal properties I get exact results with the optimization report. E.g. fpr USDCAD I have to choose CAD under signal properties then optimize and then the Max intraday drawdown and net profit is the same like I choose that strategy and then look this figures with the performance report. So the currency conversion is not correct. If I take USD or EUR and the base currency is different then the max intraday drawdowns are totally incorrect with the optimisation report than in performance report if a strategy is chosen. Thats why in portfolio optimisation with different base currencies you will never get correct results. So somewhere is not calculated correctly here. I hope I could help you a little bit to get a faster solution for that important issue.

Issue basics
  • Type of issue
    Bug report
  • Category
  • Targeted for
    MultiCharts 9.1 (RELEASED)
  • Status
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    Not determined
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    Not triaged
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    Not triaged
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