PRR/PF in *.par different from PRR of objective function

Posted By: Zheka

PRR/PF in *.par different from PRR of objective function - 07/07/21 13:01

Until now I assumed that *.par files show PRR - Zorro's default objective function - for the selected parameter combination.

EUR/CHF: 5.50 15.00=> 1.55

However, this number is significantly different from the PRR calculated during the training run - 1.45.

So, what is this number that gets into the *.par file?

Attached picture EH_obj.PNG
Posted By: jcl

Re: PRR/PF in *.par different from PRR of objective function - 07/08/21 06:52

It is based on, but not identical to the PRR. You can see the formula in the manual under "objective".
Posted By: Zheka

Re: PRR/PF in *.par different from PRR of objective function - 07/08/21 08:10

The question is NOT about the formula for Zorro's default objective function.

Please have a look at the screenshot:

Selected p[20] = 15 => 1.45

EUR/CHF: 5.50 15.00=> 1.55


What/why is the difference?
Posted By: jcl

Re: PRR/PF in *.par different from PRR of objective function - 07/08/21 11:02

Because the optimal parameter value is not at a particular step, but at a point of the parameter surface that can lie between steps.

https://manual.zorro-project.com/optimize.htm

Posted By: Zheka

Re: PRR/PF in *.par different from PRR of objective function - 07/08/21 14:06

Since where the conversation in heading is quite clear, may I suggest that either Petra or Spirit provide an answer?
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