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EYEGUY

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Posts: 1543

Joined: 12/12/2003
Location: BALDWINSVILLE, NEW YORK

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Subject : RE: ATM and "Resilient Portfolio" in Omnifunds
Posted : 4/11/2020 11:00 AM
Post #46914 - In reply to #46913

jgb:

Yes, I was aware of the bug requiring both the Long and Short Conditions in Trade Ranking to be populated. As you did here:




But my question is: How did 100 become the Default value? I suggest you put it there. Now there is nothing wrong with that, but what happens when we optimize the Trade Ranking:




Note that now the OptVal is zero (0) indicating that the Ranker is worthless.

And, while I agree that your screen shot showing Reverse Trade is provocative I am not seeing that here. Instead I am actually getting a value of 10 for the Ranker Default which is a first for me:



Tom Helget

[Edited by EYEGUY on 4/11/2020 11:13 AM]

Attached file : Original Persistent Trade Ranker Default Set To 100.jpg (123KB - 1612 downloads)
Attached file : Persistent Trade Ranker After Optimization.jpg (371KB - 1606 downloads)
Attached file : Reverse Persistent Trade Ranker After Optimization.jpg (320KB - 1594 downloads)

Deleting message 46914 : RE: ATM and "Resilient Portfolio" in Omnifunds


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