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Balanced signals, accounting for commission #484312
10/06/21 12:29
10/06/21 12:29
Joined: Aug 2021
Posts: 101
M
MegaTanker Offline OP
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MegaTanker  Offline OP
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M

Joined: Aug 2021
Posts: 101
The advise functions have this optional flag to generate balanced signals and so far it has worked well for me, but it doesn't seem to account for commission. Probably only the actual trade PnL without the fees. I imported the Signals csv in R to check the balance. Without commission, it is balanced roughly 50% positive 50% negative, but with commission, the ratio of positive trades is much lower as you would expect due to commission and this doesn't seem to get compensated. TrainMode is set to TRADES.

Is there a way to account for this?

Re: Balanced signals, accounting for commission [Re: MegaTanker] #484316
10/07/21 07:32
10/07/21 07:32
Joined: Jul 2000
Posts: 27,978
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jcl Offline

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jcl  Offline

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Joined: Jul 2000
Posts: 27,978
Frankfurt
When you train on trade returns, commissions are included. When you train on price changes, they are not included. BALANCED enforces 50% positive and negative training targets regardless of commissions.

Re: Balanced signals, accounting for commission [Re: MegaTanker] #484318
10/07/21 14:13
10/07/21 14:13
Joined: Aug 2021
Posts: 101
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MegaTanker Offline OP
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MegaTanker  Offline OP
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Joined: Aug 2021
Posts: 101
This is what I assumed, but it didn't work when I tried it. I was using negative commission for a percentage fee when it didn't work so I tried a fixed commission. It works with Commission = 1 but it produces unbalanced signals with commission = -1.
I think it doesn't account for percentage commissions

Re: Balanced signals, accounting for commission [Re: MegaTanker] #484319
10/07/21 14:52
10/07/21 14:52
Joined: Jul 2000
Posts: 27,978
Frankfurt
jcl Offline

Chief Engineer
jcl  Offline

Chief Engineer

Joined: Jul 2000
Posts: 27,978
Frankfurt
It does. Whatever the problem is, it's likely neither commission nor balance.


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