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Black Book - Chapter 4 - Optimizing the BandPass TimePeriod #483378
05/26/21 11:51
05/26/21 11:51
Joined: May 2021
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x34v Offline OP
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x34v  Offline OP
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Joined: May 2021
Posts: 2
Hi everyone,
I am a Zorro newbie and currently going through the all the scripts in the Black Book.
In chapter 4 - "Against the trend", the author uses a band pass filter with a period of 30 bars and delta of 2 bars.
The book does not explain what's the reasoning behind the choice of these two values; for this reason, I tried to experiment how the strategy would perform by optimizing the TimePeriod parameter.

In Alice2d.c, I replaced:
Code
vars Cycles = series(BandPass(Prices, 30, 2));


For:
Code
vars Cycles = series(BandPass(Prices, optimize(30, 5, 50, 5), 2));


To my suprise, all the metrics in the performance report after the train + test phases on the modified version of the script are way worse than the ones I get when testing with the hardcoded value '30'.
I probably fail to understand correctly how Zorro works, but since 30 is included in the optimization interval above, I would expect a performance report at least as good as the one I get when using the hardcoded value 30 for the bandpass filter period.

Could anyone please shed some light on this?

Thanks in advance

Re: Black Book - Chapter 4 - Optimizing the BandPass TimePeriod [Re: x34v] #483381
05/26/21 17:42
05/26/21 17:42
Joined: Jul 2017
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Zheka Offline
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Zheka  Offline
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This is because ASCENT type of optimization does not necessarily select the "best"/ "peak" parameter value, but the "robust' one, in the middle of a plateau;
and so it must have have selected a parameter different from 30.


Moderated by  Petra 

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