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2 Chronicles 27:6 (NKJV) … So Jotham became mighty, because he prepared his ways before the Lord his God.


Sticky Strategy Wizard 3 User Guide
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JimDean
Posted 9/23/2011 12:52 AM (#2970)
Subject: Strategy Wizard 3 User Guide



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This thread is dedicated to "formal" additions to the User Guide, and any errata that you may discover. Please put questions and other types of posts in a different thread. The latest version of the PDF manual is attached.


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Attachments Strategy Wizard User Guide 3.0.pdf (693KB - 27 downloads)
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JimDean
Posted 9/28/2011 11:46 PM (#3014 - in reply to #2970)
Subject: Strategy Wizard User Guide



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For OT2011 pr4A and earlier:

In a SW Performance run, the units of AvgWin and AvgLoss are Dollars per Trade, not percent (confirmed via Gianluca). AvgWin/AvgLoss and GainStdDev are derived from these. Caution: since Performance mode arbitrarily buys one share for every trade, all of these results are biased towards more expensive stocks.

Recommendation: do not make key decisions based on these values, UNLESS they come from doing a PortSim SW run which is set up to allocate an appropriate realistic number of dollars to each trade.

Application ... fine-tuning DO parameters: in this situation you normally do not want PortSim to prevent trades from being taken due to lack of funds, etc. You should choose to allocate funds based on Fixed$/trade. This will assure that all trades are equally weighted in terms of their Win/Loss dollar amounts - so the four columns mentioned above (and other columns such as ROI and WDD, etc) provide useful and legitmate statistics.

When doing a PortSim SW run with Fixed$ allocation for DO-fine-tuning, you should provide a LOT of money in the account so that no trades are rejected due to insufficient funds - $500,000 with 2x leverage is usually sufficient, for a couple of hundred symbols across 4000 bars. Turn off other caps and filters and rules as well for this application.

This SW-application topic is too big to fully cover via postings - it's part of the Optimizing OmniTrader video training series.

I am told that the Units for these four SW Performance-run output columns will be changed in a soon-to-come pre-release, from dollars to PERCENT. That is, the AvgWin will be an average of the Win Percents of each trade from each SW iteration ... this normalizes the result versus the share-price of each stock, which will make it a VERY USEFUL output value to consider from SW Perf runs. Similarly true of AvgLoss and the WinLoss ratio and the StdDev based on them. The AvgWin and AvgLoss statistics from a SW PortSim run will remain as they are, based on dollars.
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JimDean
Posted 9/29/2011 12:19 AM (#3015 - in reply to #3014)
Subject: Strategy Wizard User Guide



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Clarification re use of the SW "Save" button:

This button is documented in the manual as the "Copy" button ... and imho it would have been better if they'd left it with that name. The best name I can think of that describes what it really is doing would be "Create". Here's why:

Any time you do a SW run, the info related to the complete output results of that run (settings, table and graphs) is automatically saved to the most-recently-accessed OTD file. This happens WITHOUT you pressing any buttons (besides Run). It will OVERWRITE whatever data is already present in that OTD file.

OK - so what's this mean re your use?

1. The OTD (OmniTraderDatabase) file is the one that you see listed if you click the Load or Save buttons.
2. If you have NEVER created an OTD file, "StrategyWizard.otd" is the default that is used.
3. If you have created at least one OTD file, SW will use the MOST RECENT one for storing new data in.
4. Pressing the "Save" button does NOT change the contents of the existing most-recent OTD file.
5. If you do several SW runs, never pressing Save, the last-defined OTD file before those runs will hold the data from the last of those runs.

The "intuitive" thing that can trip you up here is thinking of the "Save" button as a "necessary step" to make sure your run's results are saved. That is, intuitively you might wait to press Save until AFTER the run is done. This is WRONG.

The CORRECT thing to do is to think of the "Save" button as a CREATE button. That is, use it to Create a NEW filename for an OTD file, BEFORE the run is done that the file is intended to record. The proper steps to take, if you want to have OT memorize the results from a given run so that you can Load it later on, based on a correct name for it are:

1. Click the Save button and NAME the file with a clear description. Be sure to include the strategy name (or an abbreviation of it), the Focus List being analyzed, and the number of or date-range of bars being analyzed, since none of this information is stored in the OTD file in a way that you can later check. Also, the filename might conveniently include an abbreviated description of the parameter(s) or range(s) being tested, and either "Perform" or "PortSim" so that you know which kind of run is to be done. This might end up being a very "long" name ... think it through carefully, so that several months from now you can still figure it out.

2. Modify the "Output File" name if you want to have a text file which contains the full Output Table results - you can change the target Output Folder if you wish. This name should normally match the name of the OTD file that you just created. Note that if you change this (TXT) file name, but fail to press the Save (ie Create) button, then the wrong OTD file will be used - the prior one will be overwritten. You can if you wish direct SW to "accumulate" the results from several Runs in one TXT file, using the "Append to File" checkbox ... but this will NOT affect the OTD file contents.

3. Make sure your input parameters for the Experiment are what you want them to be ... make sure the Search Method and Output Statistics options are what you want. If you are using PortSim, you should have previously opened it up and set all of its controls to operate as you want ... normally the allocation-method is NOT optimized, btw. Usually for SW runs, the PortSim rules are very UNrestrictive, but that depends on what you are trying to accomplish.

4. Click RUN to start the SW analysis. The number of Permutations is shown on the bottom right ... and if you wait a while, eventually you will see "Strategies searched: 1" show up on the bottom left. When it does, on the bottom middle, you'll see a TIME ESTIMATE for the remainder of the run. This is usually a CONSERVATIVE estimate ... the minutes and seconds "per strategy" (i.e. per permutation) usually drops as the run progresses. The actual time per strat-permutation might end up being only 2/3 of the initial estimate, for instance.

5. Once you have seen the initial time estimate, you might choose to Stop the run and change the experiment parameters to have fewer iterations, to reduce the time (or, maybe add more ;~). If you do that (press Stop, the Edit param's, then click Run again), there is NO need click the Save button, unless your changes would call for a change to the details you put in the filename.
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JimDean
Posted 9/29/2011 1:02 PM (#3018 - in reply to #3015)
Subject: Strategy Wizard User Guide



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Posts: 3925
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When you are doing a SW run, unless you want to WASTE time, be sure to DEactivate all strategies that you are NOT testing.

It is not sufficient to set the SW dropdown to the strategy you are testing ... EVEN IF you also set the main OT strategy dropdown box to that same strategy (vs "All Strategies"). Regardless of those dropdown box settings ... if you have more than one strategy active, SW will process them ALL even though you are focusing on just one.

This potentially could affect the results of your SW run ... but not in useful ways. It definitely increases the time it takes to do the SW run by a large factor.

Workaround - DEactivate all other strategies:
Click the ToDo button, select the Strategies tab, and UNcheck the boxes for all strategies EXCEPT the one that you want to run SW on.
ALTERNATIVE (almost as good time-wise) ... leave all strategies checked in the ToDo panel, but highlight all the symbols in the Focus List, then rightclick, then click Enable Strategies, then select Custom and uncheck all strategies except for the one being tested.
It's a toss-up which method is easier - the first one is a tad faster (maybe 10%) in SW execution.


This is (imho) a bug. But it's being treated as a "feature request". I will update this posting if/when it gets fixed. Click here to view the bug-report thread.
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