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.

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.

OK, I'll look into this.

May I also suggest that 'Optimal_F' is made into a user-supplied function (with current implementation as the default)?

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

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

Thank you!

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

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:

I will see if I can reproduce the problem.