What is ":NET"?

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What is ":NET"? #440686 04/30/14 02:46 04/30/14 02:46
Joined: Sep 2013 Posts: 504 California G GPEngine OP User
GPEngine OP User G Joined: Sep 2013 Posts: 504 California	My strategy defines no algo()'s But in the detail section of my performance report I see the following entries: Code: EUR/CHF:NET .000 1.16 193/340 0.1 /\\/ EUR/CHF:L .999 1.16 192/339 0.1 /\\/ EUR/CHF:NET:S .000 1.34 1/1 0.0 .../ EUR/CHF .791 1.34 1/1 0.0 .../ EUR/CHF:NET:S .000 1.34 1/1 0.0 .../ EUR/CHF:S .000 ---- 0/0 0.0 .... I expected only EUR/CHF:L and EUR/CHF:S. What's happening?

Re: What is ":NET"? [Re: GPEngine] #440687 04/30/14 03:46 04/30/14 03:46
Joined: Jun 2013 Posts: 1,609 D DdlV Serious User
DdlV Serious User D Joined: Jun 2013 Posts: 1,609	Are you Virtual Hedging?

Re: What is ":NET"? [Re: DdlV] #440691 04/30/14 06:03 04/30/14 06:03
Joined: Sep 2013 Posts: 504 California G GPEngine OP User
GPEngine OP User G Joined: Sep 2013 Posts: 504 California	Yes

Re: What is ":NET"? [Re: GPEngine] #440700 04/30/14 07:47 04/30/14 07:47
Joined: Jul 2000 Posts: 28,075 Frankfurt jcl Chief Engineer
jcl Chief Engineer Joined: Jul 2000 Posts: 28,075 Frankfurt	NET is supposed to be a net trade, but the report above seems to have a wrong format - we'll look into that.

Re: What is ":NET"? [Re: jcl] #441672 05/30/14 14:20 05/30/14 14:20
Joined: Sep 2013 Posts: 504 California G GPEngine OP User
GPEngine OP User G Joined: Sep 2013 Posts: 504 California	I don't see this under "known bugs" What is the severity of this bug?

Re: What is ":NET"? [Re: GPEngine] #441674 05/30/14 14:51 05/30/14 14:51
Joined: Jul 2000 Posts: 28,075 Frankfurt jcl Chief Engineer
jcl Chief Engineer Joined: Jul 2000 Posts: 28,075 Frankfurt	Originally Posted By: known bugs If a trade algorithm skipped all short trades, its OptimalF factors are wrong in the performance sheet and in training (fixed in Zorro 1.23.3).

Re: What is ":NET"? [Re: jcl] #447690
12/28/14 21:57 12/28/14 21:57

Joined: Sep 2013
Posts: 504
California

GPEngine

OP
User

GPEngine

OP
User

Joined: Sep 2013
Posts: 504
California

This problem or one like it persists in 1.26
I have a strategy with 1 Algo and several Assets, and Hedging = 5.

I see the following Performance Analysis section.

Code:

Portfolio analysis  OptF  ProF  Win/Loss  Wgt%

AUD/CHF avg         .000  ----    0/0      0.0  
AUD/JPY avg         .000  ----    0/0      0.0  
AUD/NZD avg         .000  ----    0/0      0.0  
CAD/JPY avg         .000  ----    0/0      0.0  
CHF/JPY avg         .000  ----    0/0      0.0  
EUR/AUD avg         .000  ----    0/0      0.0  
EUR/CAD avg         .000  ----    0/0      0.0  
EUR/GBP avg         .000  1.02  13655/14218 100.0 
EUR/JPY avg         .000  ----    0/0      0.0  
EUR/NZD avg         .000  ----    0/0      0.0  
EUR/USD avg         .000  ----    0/0      0.0  
GBP/AUD avg         .000  ----    0/0      0.0  
GBP/CHF avg         .000  ----    0/0      0.0  
GBP/JPY avg         .000  ----    0/0      0.0  
GBP/NZD avg         .000  ----    0/0      0.0  
NZD/JPY avg         .000  ----    0/0      0.0  
USD/JPY avg         .000  ----    0/0      0.0  

NET avg             .001  1.02  13655/14218 100.0 
TRND0005 avg        .000  ----    0/0      0.0  

EUR/GBP:NET         .000  1.02  13655/14218 100.0 
EUR/GBP:NET:L       .000  0.22  3261/11070 -3046.6 
EUR/GBP:NET:S       .003  6.35  10394/3148 3146.6

Re: What is ":NET"? [Re: GPEngine] #447691 12/28/14 22:14 12/28/14 22:14
Joined: Sep 2013 Posts: 504 California G GPEngine OP User
GPEngine OP User G Joined: Sep 2013 Posts: 504 California	To be clear, the surprising things about this report, to me, are 1. EUR/GBP OptF = .000 2. TRND0005 avg OptF = .000 Perhaps the things you find surprising will be different (again).

Re: What is ":NET"? [Re: GPEngine] #447693 12/29/14 05:19 12/29/14 05:19
Joined: Sep 2013 Posts: 504 California G GPEngine OP User
GPEngine OP User G Joined: Sep 2013 Posts: 504 California	Actually it is Hedge = 5 specifically which is broken when combined with a loop(). Here's a demonstration. Code: function run() { NumYears = 1; Hedge = 5; while(asset(loop("EUR/USD", "GBP/USD"))) { if (Bar % 99 == 0) { enterLong(); } } } ... [Test] Produces: Code: Portfolio analysis OptF ProF Win/Loss Wgt% EUR/USD avg .000 ---- 0/0 -0.0 GBP/USD avg .000 0.78 2614/3232 100.0 GBP/USD .000 0.78 2614/3232 100.0 GBP/USD:L .000 0.78 2614/3232 100.0 GBP/USD:S .000 ---- 0/0 -0.0 If you swap the order of the assets in the loop, you get this Portfolio analysis instead. Code: Portfolio analysis OptF ProF Win/Loss Wgt% EUR/USD avg .000 0.74 2687/3160 100.0 GBP/USD avg .000 ---- 0/0 -0.0 EUR/USD .000 0.74 2687/3160 100.0 EUR/USD:L .000 0.74 2687/3160 100.0 EUR/USD:S .000 ---- 0/0 -0.0 Expected: same performance regardless of order of elements in asset loop. Expected: >0 trades for all assets. The enterLong is unconditional every 99th bar, so there should be thousands of trades, same for all assets. Last edited by GPEngine; 12/29/14 05:26.

Re: What is ":NET"? [Re: GPEngine] #447700 12/29/14 12:31 12/29/14 12:31
Joined: Jul 2000 Posts: 28,075 Frankfurt jcl Chief Engineer
jcl Chief Engineer Joined: Jul 2000 Posts: 28,075 Frankfurt	Thanks! This looks indeed like a bug - I'll forward this to the developers.

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