Optimizer Loops until Cancelled
Author: LenMoz
Creation Date: 6/6/2014 3:24 PM
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LenMoz

#1
Category Dip Buyers, Strategy "Slow Stochastic Multi FIFO"

To test my custom Optimizer, I've been trying to optimize some of the WL-supplied strategies. When I tried this one, the Optimizer went into a loop, running the optimization over and over. This looping also happens with the Genetic Optimizer.

I optimized the strategy with parameters and PosSizer [Daily, 2 years, $2,500 (RP)] as-is, using portfolio Dow 30.

I noticed two things in the strategy code that looked unusual:
1. The strategy seems capable of selling a position that it just bought, both at bar+1.
2. This line, note "AllPositions":
CODE:
Please log in to see this code.


Still, the Optimizer shouldn't go into a loop.
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Eugene

#2
Just optimized higgsja's strategy using your optimizer. It's OK in both Port.Sim. and RP modes and nothing loops through.
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LenMoz

#3
Something in my WL settings? Here's what I tried, in case it was a side effect of my optimizer having been run in the same session...

I shut down WL and deleted my optimizer .dll. I started WL, opened the strategy, went to the optimizer, already set to Genetic, and clicked "Begin Optimization" It happened just as before. I didn't mention, but when I Cancel the optimization, WL crashes, "has stopped working", etc.

I'm running WL 6.7.18.0 64-bit edition. I think that's the latest.

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Eugene

#4
I'm still running 6.6 (as WLD 6.7 hasn't been released yet) but I can't see how the fixes in 6.7 could affect that...

If the problem is reproducible, and especially it more types of strategies are affected, you might want to create a support ticket.
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LenMoz

#5
Update: Ignore this. I confused this with another issue I'm working. This refers to Optimizer causing straps presentation to be out of sync with the values being used for SSB/MSB.

I'm pretty sure that this was happening before 6.7. I remember running MSBs mid-2013 and at times getting quite unexpected results, then seeing that the straps were not where they appeared to be. I never related it to having earlier run Optimizer, but I would bet...
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Eugene

#6
Well, maybe it's a side effect of clicking on labels during optimization... ;) Just kidding.
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LenMoz

#7
I'll do a ticket if/when it happens to one of my strategies. My only interest in higgsja's strategy was to test my optimizer. I can find other strategies to test with. higgsja's has a strange code pattern that I'm unlikely to use, as noted in #1 here.
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