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OptimalF factors for every step of WFO? #476806
04/04/19 13:26
04/04/19 13:26
Joined: Feb 2017
Posts: 1,718
Chicago
AndrewAMD Online OP
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jcl,

In the future, can Zorro have a flag (i.e. "FACTORS_SEASONAL"), so that when Optimal F factors are generated, there will be a unique set of optimal F factors for every step of WFO?

The purpose is to adapt OptimalF factors to the ever-changing market conditions.

Re: OptimalF factors for every step of WFO? [Re: AndrewAMD] #476808
04/04/19 14:06
04/04/19 14:06
Joined: Jul 2000
Posts: 27,977
Frankfurt
jcl Offline

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jcl  Offline

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Theoretically it's already possible with two training cycles, as described on the training page for parameters and rules. It should also work for factors. But probably no one did that before. Try it. If it does not work, let me know and I'll put it on the list.

Re: OptimalF factors for every step of WFO? [Re: jcl] #476809
04/04/19 14:06
04/04/19 14:06
Joined: Feb 2017
Posts: 1,718
Chicago
AndrewAMD Online OP
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Originally Posted By: jcl
Theoretically it's already possible with two training cycles, as described on the training page for parameters and rules. It should also work for factors. But probably no one did that before. Try it.
OK, I'll look into this.

Re: OptimalF factors for every step of WFO? [Re: AndrewAMD] #476811
04/04/19 14:30
04/04/19 14:30
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Zheka Offline
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May I also suggest that 'Optimal_F' is made into a user-supplied function (with current implementation as the default)?

Re: OptimalF factors for every step of WFO? [Re: Zheka] #476867
04/16/19 15:05
04/16/19 15:05
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AndrewAMD Online OP
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jcl,

I believe TrainMode = ALLCYCLES is intended to do what I describe.

However, I think I found a bug... It generates the factors for each cycle, but it doesn't load in Test mode.

I will try to reproduce this and submit a bug report. (Unless you find it first.)

Thanks,
Andrew

Re: OptimalF factors for every step of WFO? [Re: AndrewAMD] #476868
04/16/19 15:12
04/16/19 15:12
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Posts: 27,977
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jcl Offline

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I believe you're right. No need for the bug report, I'll forward this to the developers.

Re: OptimalF factors for every step of WFO? [Re: jcl] #476869
04/16/19 15:21
04/16/19 15:21
Joined: Feb 2017
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AndrewAMD Online OP
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Thank you!

Re: OptimalF factors for every step of WFO? [Re: AndrewAMD] #476873
04/17/19 09:12
04/17/19 09:12
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Posts: 652
Milano, Italy
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MatPed Offline
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I have tested with the ALLCYCLES flag, a TS that was not trained accordingly and I did not received any warning message. Maybe it could be useful.
Ciao

Re: OptimalF factors for every step of WFO? [Re: MatPed] #476874
04/17/19 11:52
04/17/19 11:52
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jcl Offline

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jcl  Offline

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I have been informed that the ALLCYCLES factors work fine in Test mode. The last factor file had a wrong name, but this had no effect on the test which only used the other .fac files.

So I'm afraid we will then really need the script for finding out what the problem was.

For determining if factors are loaded in test mode or not, you can use this code:

Code:
if(Test && WFOBar == 1)
	printf("nCycle %i OptF %.2f Long %.2f Short %.2f",
		WFOCycle, OptimalF, OptimalFLong, OptimalFShort);


Re: OptimalF factors for every step of WFO? [Re: jcl] #476875
04/17/19 12:39
04/17/19 12:39
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AndrewAMD Online OP
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I will see if I can reproduce the problem.

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