Optimizer problem: the value of property does not reset.

[tamas]

Hello,
i made a sample strategy, please chek this. When the strategy run, it changes the value of AccountCash only once with 50000.

Reproduce:
- Change Fast property: Min = 9, Max = 10, Increment = 1
- Do NOT change AccountCash.
- Run Optimization

Because of the settings, it will run twice.

Result in Output window:

Initialize: 150000
Initialize: 150000
OnStartUp: 150000
OnBarUpdate: 200000
OnTermination: 200000
-------------

Initialize: 150000
Initialize: 200000
OnStartUp: 200000
OnBarUpdate: 250000
OnTermination: 250000
-------------

It can be seen that at second run the setting value will not be 150000, but 200000 wich is the result of the previous run.

Tamas

[tamas]

I just realised. Probably the result will not come out with previous mentioned method.

Please check this:

- Start NT.
- Open Strategy Analyzer.
- Select Instrument (at my end EURUSD).
- Click Optimizer button.
- Select sample strategy.
- Change Fast property: Min = 9, Max = 10, Increment = 1
- Do NOT change AccountCash.
- Run Optimization.

Till this OK. In output window:

Initialize: 150000
Initialize: 150000
Initialize: 150000
Initialize: 150000
OnStartUp: 150000
OnStartUp: 150000
OnBarUpdate: 200000
OnBarUpdate: 200000
OnTermination: 200000
-------------
OnTermination: 200000
-------------
Initialize: 150000

- Click Optimizer TAB.
- Click Trades TAB.

New rows in output window:

Initialize: 150000
Initialize: 150000
Initialize: 200000
OnStartUp: 200000
OnBarUpdate: 250000
OnTermination: 250000

- Run Optimization again.

New rows in output window:

Initialize: 150000
Initialize: 150000
OnStartUp: 150000
Initialize: 150000
OnStartUp: 150000
OnBarUpdate: 200000
OnBarUpdate: 200000
OnTermination: 200000
-------------
OnTermination: 200000
-------------
Initialize: 150000
Initialize: 200000
OnStartUp: 200000
OnBarUpdate: 250000
OnTermination: 250000

Tamas

[NinjaTrader_Austin]

tamas, I ran your script but increased the number of trials by optimizing the max value from 9 to 13 in 1 step increments. I did not notice the AccountCash "hanging around". It appears as if it was reset correctly for each iteration.

Initialize: 150000
Initialize: 150000
OnStartUp: 150000
Initialize: 150000
OnStartUp: 150000
OnBarUpdate: 200000
OnBarUpdate: 200000
OnTermination: 200000
-------------

Initialize: 150000
OnStartUp: 150000
OnBarUpdate: 200000
OnTermination: 200000
-------------

Initialize: 150000
OnStartUp: 150000
OnBarUpdate: 200000
OnTermination: 200000
-------------

Initialize: 150000
OnStartUp: 150000
OnBarUpdate: 200000
OnTermination: 200000
-------------

OnTermination: 200000
-------------

Initialize: 150000

EDIT: After clicking the trades tab, the counter did increase further.

Initialize: 150000
Initialize: 150000
Initialize: 200000
OnStartUp: 200000
OnBarUpdate: 250000
OnTermination: 250000

Someone will get back to you tomorrow regarding this issue.

[tamas]

Thanks Austin, I wait.

Tamas

[NinjaTrader_JoshP]

tamas,

When you click on the various tabs you are already post-optimization. Are you saying this actually invokes improper strategy calculations for you? I am not seeing changed results from what I can tell on my end.

[tamas]

Hello Josh,

Sorry for replying slower, but i made another sample, because the problem is complex. I hope it will be more understandable.

When you click on the various tabs you are already post-optimization.

Yes, i know.

Are you saying this actually invokes improper strategy calculations for you?

I think, yes. One side yes, the other side no.



Strategy:

• There is a property which simulates how much money you have. AccountCash = 150000
• Optimalisation on EURUSD. Margin = 2500 and PointValue = 100000
• If AccountCash = 150000 then the first entry quantity has to be 6000000 --> (150000 / 2500) * 100000
• Simulate the change of the cash. In this sample strategy add 50000 once.
• The settings of optimalization can be found in the previous posts.

What should happen?

• The first entry quantity has to be 6000000.
• The second entry quantity has to be 8000000. And the other entries as well.

Two cases will be during optimalization. (In both cases the controll is the backtest, see below the pictures.)


1) The "Summary" or "Settings" TAB is active.

• Optimalisation will run with the right quantity value.
• It can be seen in output window.(sample_1.png)
• And the profit is correct. (sample_2.png)

(Probably the 1 point is not correct, only the problem can not be seen so much on GUI. Because at the top in the grid --> there is 200000 instead of 150000)


2) Any other TAB is active (eg. "Trades")

• The optimalization (maybe after the backtest??) will run with not a correct quantity value.
• It can be seen in output window and on the "Trades" TAB (sample_3.png)
• The Cum Profit on the "Trades" TAB is not correct. I think beacuse the quantity is not correct. (sample_4.png)

Summary: it seems that the optimalization run in two steps correctly according to the Output window (sample_4.png). Then backtest will run again because of the opened "Trades" TAB, but this does not run correctly. I think it does not set again the original AccountCash value (150000), but it count with the last calculated value (200000).

Have a nice day, Tamas

[NinjaTrader_JoshP]

tamas,

Please leave the GridCategory as Parameters for AccountCash and see if you still have the same observations. Thank you.

[tamas]

Josh, checked. The probem still exists.

Tamas

[NinjaTrader_JoshP]

tamas,

Development says that changing parameters while running it can yield such results. Instead if you wanted something to change you should not change the actual parameter itself, but make another private variable inside the script that would hold any changed values and base your logic off of that variable instead.

[tamas]

OK,

what development said, i did before as a workaround.

Accordingly: workaround = solution

Thanks, Tamas

[tamas]

Hello Josh,

i would like to ask one more question connected to backtesting. This is not a bug, i just do not understand how it works, what sequence do the entries and exits and their events run?

In the sample code i just wanted to add the result of the last trade (profit) to TempAccountCash (account is simulated by this) after the exit. I would like to count the quantity of the new entry from this.

But the result of the last trade is not always avalilable. It seems that the event of exit runs later then the next entry.

The problem can be seen in AllTrades.Count. Sometimes it will not be more with one ...

LONG
OnBarUpdate - ExitShort
OnBarUpdate - AllTrades.Count: [COLOR=red][B]0[/B][/COLOR]
OnBarUpdate - Long - TempAccountCash: 150000
OnBarUpdate - EnterLong
-------------------
-------------------
SHORT
OnBarUpdate - ExitLong
OnBarUpdate - AllTrades.Count: [B][COLOR=red]0[/COLOR][/B]
OnBarUpdate - Short - TempAccountCash: 150000
OnBarUpdate - EnterShort
-------------------
-------------------
LONG
OnBarUpdate - ExitShort
OnBarUpdate - AllTrades.Count: [COLOR=red][B]2[/B][/COLOR]
OnBarUpdate - Profit: 359,999999999934
OnBarUpdate - Long - TempAccountCash: 150360
OnBarUpdate - EnterLong
-------------------
-------------------
SHORT
OnBarUpdate - ExitLong
OnBarUpdate - AllTrades.Count: [COLOR=red][B]2[/B][/COLOR]
OnBarUpdate - Profit: 359,999999999934
OnBarUpdate - Short - TempAccountCash: 150720
OnBarUpdate - EnterShort
-------------------
-------------------
LONG
OnBarUpdate - ExitShort
OnBarUpdate - AllTrades.Count: 3
OnBarUpdate - Profit: -4149,9353099989
OnBarUpdate - Long - TempAccountCash: 146570,064690001
OnBarUpdate - EnterLong
-------------------

... sometimes it will.

LONG
OnBarUpdate - ExitShort
OnBarUpdate - AllTrades.Count: 185
OnBarUpdate - Profit: 2573,03300000093
OnBarUpdate - Long - TempAccountCash: 142411,783830009
OnBarUpdate - EnterLong
-------------------
-------------------
SHORT
OnBarUpdate - ExitLong
OnBarUpdate - AllTrades.Count: [COLOR=seagreen][B]185[/B][/COLOR]
OnBarUpdate - Profit: 2573,03300000093
OnBarUpdate - Short - TempAccountCash: 144984,81683001
OnBarUpdate - EnterShort
-------------------
-------------------
LONG
OnBarUpdate - ExitShort
OnBarUpdate - AllTrades.Count: [COLOR=seagreen][B]186[/B][/COLOR]
OnBarUpdate - Profit: -12760,0950399999
OnBarUpdate - Long - TempAccountCash: 132224,72179001
OnBarUpdate - EnterLong
-------------------
-------------------
SHORT
OnBarUpdate - ExitLong
OnBarUpdate - AllTrades.Count: [COLOR=seagreen][B]187[/B][/COLOR]
OnBarUpdate - Profit: 4987,47712000071
OnBarUpdate - Short - TempAccountCash: 137212,198910011
OnBarUpdate - EnterShort
-------------------
-------------------
LONG
OnBarUpdate - ExitShort
OnBarUpdate - AllTrades.Count: [COLOR=seagreen][B]188[/B][/COLOR]
OnBarUpdate - Profit: -13962,9283199997
OnBarUpdate - Long - TempAccountCash: 123249,270590011
OnBarUpdate - EnterLong
-------------------

I checked OnOrderUpdate and OnExecution method and the sequence of events is the same as above - obviously.

I could solve my problem, i just would like to understand how it works and why is it like this? Or what did i forget?

Thank you in advance, Tamas

[NinjaTrader_JoshP]

tamas,

TradeCollection object is updated after a trade is fully finished. Meaning, only after you receive an OnPositionUpdate() event for that round trip trade.

[tamas]

tamas,

TradeCollection object is updated after a trade is fully finished. Meaning, only after you receive an OnPositionUpdate() event for that round trip trade.

Josh, i understand this. Actually the question is (backtest): if i use this code (eg. SampleMA):

[FONT=Consolas][SIZE=2][COLOR=#0000ff][FONT=Consolas][SIZE=2][COLOR=#0000ff][FONT=Consolas][SIZE=2][COLOR=#0000ff]if[/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][FONT=Consolas][SIZE=2][FONT=Consolas][SIZE=2] (CrossAbove(SMA(Fast), SMA(Slow), 1))[/SIZE][/FONT]
[SIZE=2][FONT=Consolas]{[/FONT][/SIZE]
[SIZE=2][FONT=Consolas]ExitShort();[/FONT][/SIZE]
[SIZE=2][FONT=Consolas]EnterLong();[/FONT][/SIZE]
[SIZE=2][FONT=Consolas]}[/FONT][/SIZE]
[/SIZE][/FONT][FONT=Consolas][SIZE=2][COLOR=#0000ff][FONT=Consolas][SIZE=2][COLOR=#0000ff][FONT=Consolas][SIZE=2][COLOR=#0000ff]else[/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][FONT=Consolas][SIZE=2][COLOR=#0000ff][FONT=Consolas][SIZE=2][COLOR=#0000ff][FONT=Consolas][SIZE=2][COLOR=#0000ff]if[/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][FONT=Consolas][SIZE=2][FONT=Consolas][SIZE=2] (CrossBelow(SMA(Fast), SMA(Slow), 1))[/SIZE][/FONT]
[SIZE=2][FONT=Consolas]{[/FONT][/SIZE]
[SIZE=2][FONT=Consolas]ExitLong();[/FONT][/SIZE]
[SIZE=2][FONT=Consolas]EnterShort();[/FONT][/SIZE]
[SIZE=2][FONT=Consolas]}[/FONT][/SIZE]
[/SIZE][/FONT]

the events (eg. OnExecution) of exit (ExitLong & ExitShort) will not always run before, than events of entry (EnterLong & EnterShort) wich is after the exit in code. So after the exit and before the next enter the result of the last trade (ProfitCurrency) will not always be available. I do not understand the cause of this. Would you help me to explain?

Maybe is this any kind of internal simulation rutine for two parallel orders (exit and entry)?

Tamas

[NinjaTrader_JoshP]

tamas,

Firstly, why are you calling Exit() before your Enter()? Do you have a specific use case for this? When you call Enter() with a prior position in the opposite direction it will already automatically close that position for you before getting you into your new direction.

[tamas]

Hello,

Firstly, why are you calling Exit() before your Enter()? Do you have a specific use case for this?

Yes.

When you call Enter() with a prior position in the opposite direction it will already automatically close that position for you before getting you into your new direction.

Yes, I know.
So I try to summarize it again.

I would like to solve, that the quantity during backtest for all entries has to be calculated based on the results until that point. Variable is needed for this, which is the value of the account. I would like to increase or decrease this after all trades, and count the quantity of the next entry from this. This is simple so far.

If I use this,the result of the last trade befor entry will not be available, so I can not change the value of the account and can not count the quantity of the new entry.

if (CrossAbove(SMA(Fast), SMA(Slow), 1))
  EnterLong(CalculatedQuantity);
elseif (CrossBelow(SMA(Fast), SMA(Slow), 1))
  EnterShort(CalculatedQuantity);

So i thought that i should use this then:

if (CrossAbove(SMA(Fast), SMA(Slow), 1))
{
  ExitShort();
  EnterLong(CalculatedQuantity);
}
elseif (CrossBelow(SMA(Fast), SMA(Slow), 1))
{
  ExitLong();
  EnterShort(CalculatedQuantity);
}

But i realised (post #11), that in this case also, the result of the exit will not always run previously than the entry. There are cases when yes, and there are when no. If it does not run before, then the result of last trade will also not be available, so I can not change after the exit (but so far before the next entry) the variable which contains the value of the account, and then, from that count the result of the following entry. The question applied to why does it work like this and what is the reason?

(Tha problem can be solved in a different way - a bit more complicated, but can be solved - i just would like to undersatnd the cause and the function of NT.)

Tamas