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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 (1)
user-offline.png  Andy (andywill)
Jun 18, 2015 - 16:17

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.

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