SJ Member  Posts: 49 Joined: 9/28/2012 Location: Olathe, KS  User Profile | Thanks for the reply. Appreciate your observations on the behavior of VTY_PRICE. AT this point, it is not the behavior of how any given ranker affects performance, it is simply that if applying a ranker that has a known effect and we throttle down the number of trades allowed to 1 per day, there should be a detectable difference in the equity curves when trades are based on ascending vs descending ranker value. They should not be exactly the same. I don't know if this means the ascending/descending radio buttons are not working or what is happening. I can see from the log files that the same trades are being taken and the others rejected. BTW, although the thread is for ATS, I am using ATM for this test with just a Default market state. Ran today, long only. Test 0 is baseline. Test is VTY_PRICE descending, Test2 is ascending. This looks correct! Switched to RSI(2) ranker. Strategy is a variation of XLS-19, so RSI level should be predictive varying between 0 and 10 (10 is the signal cutoff level). Test 0 is baseline. Test 3 is RSI(2) ascending, Test 4 is descending. There is no difference in Test 3 vs 4. Also, I would have expected a lower RSI value to be more profitable on average, but the baseline performed better. So what sort is happening? Edited Test 3 & 4 to switch back to VTY_PRICE like Test & Test2 were. Much to my surprise, the 3 curves presented as before. So I edited 3 & 4 so that 3 was VTY_PRICE ascending and 4 was descending. If ranking is working, 3 & 4 should have reversed, but they did not change at all. I even exited back to Real Mode and back to Port Sim to be sure – no change. So just to cover every base, I made sure to my ascending/descending were reversed for long/short as suggested by Tom. This made no difference, but when I put it back to original, my three curves became two! Now Test 3 & Test 4 produce the same equity curve despite having opposite direction rankings. I’ve broken it. WTF? Shut down OT and restarted. Port Sim still producing only two curves. This is madness! This is Sparta! Steve Johnson [Edited by SJ on 2/26/2019 4:23 PM]  Attached file : Trouble1.png (27KB - 768 downloads) Attached file : Trouble2.png (26KB - 707 downloads) Attached file : Trouble3.png (25KB - 771 downloads) |
