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Open Feature request MC-679

Saving and loading optimization reports

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Description

I have two feature requests that are related to MC-678. Both relate to the option to save optimization reports in Portfolio Backtester. I.e.,

First, it would be great if saved optimization reports could contain more information about what optimization this relates to. Currently, an optimization report in .csv format only contains a generic title (e.g., "Report_2011-10-28_16-13-06.csv"), and no information about what portfolio was backtested or the particular input parameters. I'll often look at an optimization report and ask myself, "how did I get these results?"

It would be ideal if you could include some information into the optimization report about the portfolio used and the inputs and other variables used. E.g., the filename could be based on the name of the portfolio (e.g., "BollingerBand Uptrend 2011-10-28_16-13-06.csv" for a portfolio called "BollingerBand Uptrend.pws"). You could embed additional information into the file about the entry and exit signals, the "begin" and "end" values for the inputs, the properties of the portfolio (e.g., the trade size), and similar information. This could be prepended to the start of the file, which would still allow Microsoft Excel or another program to open the .csv file and see the other data.

Second, it would be great if there were a way to load performance reports back into Portfolio Backtester. That way, I wouldn't have to run the same optimization a second time just to see the performance report again in MultiCharts (rather than Excel).

Steps to reproduce this issue

See above.

Comments (4)
#0
user-offline.png  Xyzzy (Xyzzy)
Oct 28, 2011 - 19:39

As an additional note concering the second request, it would be great if the CSV file could be loaded back into the Portfolio Backtester. That way, the user wouldn't have to save the performance report in two separate formats -- CSV and something else.

#0
user-offline.png  EdL (EdL)
Mar 31, 2013 - 09:59

This would be very useful. Surprised it wasn't implemented staright up. Would save re-running the optimizsation or having to load the report in excel

#0
user-offline.png  Guest (Guest)
Oct 01, 2014 - 14:11

I love the idea of including the strategy assumptions (signal names, parameter values that didn't vary) in the optimization report. This is for portfolios, and even for single strategies.
An "easy" way to do it would be to include a column for each strategy parameter EVEN IF THE PARAMETER WAS HELD FIXED in the optimization. A strat may have 10 parameters, and only 3 are being varied in the current optimization run. We need some way to know what the values of the fixed parameters was. Yes we can record that manually, but the whole point of software is automating repetitive tasks :)

#0
user-offline.png  Xyzzy (Xyzzy)
Oct 01, 2014 - 18:37

I like Guest's suggestions. Perhaps there could be a checkbox like "show unoptimized variables." If checked, then the optimization report would show columns for all of the variables -- including the fixed values for the unoptmized variables. Alternatively, there could be a single column for each signal that contains all of the inputs in a compact string representation, e.g.: "10, 2, 5" for input1 = 10, input2 = 2, input3 = 5.

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    user-offline.png  Xyzzy (Xyzzy)
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