[BUG] TS Robustness Index (TradeStation Robustness Index) Addon should be native inside SQX too.. (The Addon wont work with WF results..)

[BUG] TS Robustness Index (TradeStation Robustness Index) Addon should be native inside SQX too.. (The Addon wont work with WF results..)

Here is a link where i found the TradeStation Robustness Index:
https://strategyquant.com/codebase/robusteness-index-tradestation/

Exact Code was inside the Comments:

I think it should be already built-in and come natively with SQX, but for some reason there is a problem and the results of WF always return 0%..

please take a look at it, it is a very popular metric in TradeStation, thanks.


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  • Votes +2
  • Project StrategyQuant X
  • Type Feature
  • Status New
  • Priority Normal

History

k
#1

Karish

16.12.2022 00:36

Task created

k
#2

Karish

16.12.2022 04:57
btw, cant filter it for some strange reason, maybe because it is represented as a String value?..
TT
#3

Tamas

16.12.2022 08:57

Type changed from Bug to Feature

E
#4

Emmanuel

17.12.2022 13:18
Voted for this task.
k
#5

Karish

27.12.2022 03:21
Voted for this task.
k
#6

Karish

27.12.2022 03:37

Attachment WFE.png added

WFE.png
(335.19 KiB)
If i may suggest,

Here is a screenshot of the TS's WFM,


You can use the WalkForward Efficiency metric aka Robustness Index inside the WF cluster inside TS..

(OOS Profit * 365 / number of OOS days) / (IS Profit * 365 / number of IS days) * 100


Walk-Forward Efficiency
WFE Is the ratio of the annualized OOS profit over the annualized IS profit. Some performance deterioration is expected when applying the strategy to OOS data. An efficiency of 100% shows us that OOS results are as good as the IS results. A minimum efficiency of 50% is often used as a passing criterion.



at the attached screenshot there is a way to see the AVERAGE WFE of all the OOSs of WF runs, not only to see the final PASS/FAILED results,

this would be a good feature aswell,


not only as a workable and filterable databank metric, but to use it as an Avg WFE of all the OOSs of the WF run,


thanks.





k
#7

Karish

14.02.2023 15:40
Can this be fixed / implemented into the new build?..

Votes: +2

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