I created a MetaStrategy with just single strategy inside. With all capital parameters set the same I got completely different results. After some investigation it turns out that MetaStrategy always filters out Pre/Post data that can be checked:
1. looking at the Chart of MetaStrategy
2. checking Filter Pre/Post market data in the original strategy and getting the same results as in MetaStrategy
3. not reloading the datasource after tick/untick the checkbox in MetaStrategy
I use B80
1. looking at the Chart of MetaStrategy
2. checking Filter Pre/Post market data in the original strategy and getting the same results as in MetaStrategy
3. not reloading the datasource after tick/untick the checkbox in MetaStrategy
I use B80
Rename
I'm not seeing this, I tested it by running my 1-minute Strategy with data that was not filtered for Pre/Post. I then created a new MetaStrategy, set its data loading to not filter Pre/Post and dropped my Strategy in. When I ran it, it was not filtered.
I could repro what you did. The difference is WHEN you disable the Filter Pre/Post - before or after dropping of the strategy.
Steps to repro the bug:
1. create new Meta strategy (it should have Daily / SPY in Strategy settings)
2. drop strategy
3. go and change the Data scale to 1 min and uncheck Filter Pre/Post
You should see that data is filtered.
BTW I can see slightly different Profit for Meta and Original strategy on your screens - is that expected?
Steps to repro the bug:
1. create new Meta strategy (it should have Daily / SPY in Strategy settings)
2. drop strategy
3. go and change the Data scale to 1 min and uncheck Filter Pre/Post
You should see that data is filtered.
BTW I can see slightly different Profit for Meta and Original strategy on your screens - is that expected?
I followed your steps but the data still was not filtered in the MetaStrategy.
And, in my previous screen shot, the results were a little different because I am using unfiltered data and some new bars of data were added between the two runs. If I run them at just the same time then I'm not seeing a difference.
And, in my previous screen shot, the results were a little different because I am using unfiltered data and some new bars of data were added between the two runs. If I run them at just the same time then I'm not seeing a difference.
Hello, thanks for the test.
For me the selection/deselection of Filter Pre/Post doesn't work.
What I do:
1. create Metastrategy
2. drop a single strategy
3. run and see that filtering corresponds to Filter Pre/Post checkbox
4. change the checkbox value: check or uncheck
5. run backtest and see that the change doesn't influence the actual filtering (I see that on the Chart). As additional
confirmation I can see that data reload is not happening when I run backtest
6. if I change the Benchmark symbol to something else the actual state of Pre/Post checkbox is taken into consideration, and data is reloaded when I Run Backtest (as expected)
Could you please check the above mentioned sequence. If it doesn't work for you, I will shoot a video.
For me the selection/deselection of Filter Pre/Post doesn't work.
What I do:
1. create Metastrategy
2. drop a single strategy
3. run and see that filtering corresponds to Filter Pre/Post checkbox
4. change the checkbox value: check or uncheck
5. run backtest and see that the change doesn't influence the actual filtering (I see that on the Chart). As additional
confirmation I can see that data reload is not happening when I run backtest
6. if I change the Benchmark symbol to something else the actual state of Pre/Post checkbox is taken into consideration, and data is reloaded when I Run Backtest (as expected)
Could you please check the above mentioned sequence. If it doesn't work for you, I will shoot a video.
I suspect the issue is coming between steps 3 and 4. Once the data is loaded, WL8 won’t reload the data again when you run the strategy a second time. Probably we need to force a reload when you check or uncheck that filter button, will take a closer look.
Yes, it was that interaction. I'll make a change so that checking the Filter check box causes a MetaStrategy data reload the next time you run the Strategy.
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