Strategy scores appear to improve due to alternate data

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Strategy scores appear to improve due to alternate data

Postby mandelmus » Sun Jan 13, 2013 7:15 am

When running some of my OneClick setups, it seems that certain strategy's scores improved when the Alternate data "$F_A1MCAvgAnnReturn" or "$F_A1MaxDrawDPctU" or "$F_A1SharpeRatio" improved. I have only selected to minimize "$F_MCAvgDrawdown" and maximize "$F_MCAvgAnnReturn" under both the "Strategy Performance" and "Multi-System Performance" tabs. Is this supposed to happen?
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Re: Strategy scores appear to improve due to alternate data

Postby Overload » Sun Jan 13, 2013 10:57 am

That would be either a coincidence, or a correlation with your alternate data. The system should only "improve" based on your score, and your score includes only the fields in your algorithm.

Pete
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Re: Strategy scores appear to improve due to alternate data

Postby mandelmus » Wed Jan 16, 2013 4:03 am

You were right -- after investigating, I noticed my alternate data period overlapped my in-sample period by one month causing the correlation. Thanks
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