Mike, You are right, of course. Previously I was multiplying Sharpe and KRatio and when I changed to adding them, I didn't remove that unnecessary code. And I'd for some inexplicable reason changed CompositeMetric * - 1 to Abs().
All fixed now. Thanks for pointing it out. Joe --- In [email protected], "Mike" <[EMAIL PROTECTED]> wrote: > > Joe, > > Your code snippet does not make sense to me. If both NetProfitpc and > RecFactor are negative, then ProfitMetric will never be positive > (i.e. negative plus a negative equals a greater negative), and your > condition will never be true. > > Thus, your expression ProfitMetric = abs( ProfitMetric ); will never > be evaluated and would have been redundant anyway, since you would > only have executed it if you had found ProfitMetric to be positive in > the first place and abs() just renders a negative number positive > while having no affect on a positive number. > > Am I missing something? > > Mike > > --- In [email protected], "Joe" <j0etr4der@> wrote: > > > > If you are using a Custom Metric as your Optimization target in the > > Walk-Forward settings, you should hand-check your results. I am > > frequently getting incorrect results, in that the highest value of > the > > Custom Metric is not the one selected by W-F for a date range. > > > > I documented the problem in the 5.08beta to AB support on May 13th > and > > have not received a reply as yet. > > > > This is the metric that is currently causing(?) the problem: > > [code snippet] > > ProfitMetric = ( NetProfitpc + RecFactor * 20 ) * 10 ;//make them > > ~equivalant > > if( 0 > NetProfitpc AND 0 > RecFactor AND 0 < > ProfitMetric )//if > > both negative & result positive > > ProfitMetric = abs( ProfitMetric ); > > > > bo.AddCustomMetric( "Profit", ProfitMetric ); > > [end code snippet] > > > > Other of my metrics exhibit the same type of incorrect results in my > > testing. I'm using Release 5.10.1 now, so I thought it was > appropriate > > to bring this to the attention of the group. > > > > Good trading, > > > > Joe > > >
