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Position Allocation Incorrect with Optimizer

Posted By alpha23 7 Years Ago
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Posted Friday October 01 2010
Under a system run the allocation is correct. I'm using fixed value and setting allocation amount manually:

positionManager.Allocation = 0.10 * systemData.AccountValue;

The allocation that appears in optimization is roughly 20% of the above. Why would there be a difference?

Thanks, Duane
Posted Sunday October 03 2010
The only obvious reason would be that the account value is different. With a different set of parameters, the system may do better or worse, and over time the account value will very different between runs.

What are you looking at to determine that the allocation is not what it should be? It might help to output the current account value when your system submits an open position order.

Thanks,
Daniel


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