1. when I run a strategy with moving averages, it starts them after the program accumulates data for the average. E.g. 200 MA kicks in a year later.

a. Why is it so, when the data to compute MA is usually available prior to the strategy start date.

b. The program computes B&H from day 1 while the strategy kicks in, say, 200 days later and then it compares results over very different time frames.

2. Is there any way to have Sharpe reported for my strategies?

3. Even though my computer has >1 core, WL runs optimizations on a single core. Any way to parallelize it?

Thanks,

Arik

1a. Naturally and by design. The data might not necessarily be available and the program is not going to make that assumption. The data loading range is king; just get used to the idea that there is nothing before bar 0.

1b. Yes, that's by design. See the Wealth-Lab User Guide, Strategy Window > Backtesting Strategies > Inside a Portfolio Simulation > Note on Lead Bars.

More insight into the problem: Lead Bars & Position Sizing Leeway.

2. It's always a good idea to search the forums first or see the FAQ:

FAQ | Strategies and WealthScript > Optimization > "Why Sharpe ratio is not provided in Optimization Results?"

Even though it says optimization, its 2nd paragraph applies to Strategies as well.

3. That's right. You can choose from the following alternatives:

* By running multiple optimizations in different Optimizer windows
* By running Genetic optimizer or Monte Carlo method (both are faster)
* By breaking up a long running optimization by parameters
* By breaking it up by date ranges (1st half in one window, 2nd half in another)
* By developing a custom parallelized Optimizer (preferred, substantial development effort)

Can Wealth lab display Range Bars in lieu of Time Bars?

Sure it could do Range Bars, MBars or Volatility Bars but first you have to develop a ChartStyle(like this, for example: Constant Volume Bars). We do not have it on our plans though.

Can you show an example of how to create Range Bars?

An example of what does not yet exist (as just said above)? Here you have a C# example for motivated developers: Home - Community ChartStyles (a substantial programming effort)

Eugene, Thank you for for the quick assistance. You are always informative.