B136 19. december: MAE and MFE on charts are wrong using Stockpicker engine


The MAE and MFE curves on the charts are wrong using the stockpicker engine. As an example look in the green boxes on the attached screenshots:

For the trade on 16.08.2017 MAE is $-17.27. On the chart that translates to MAE: 376.41. But that is not correct. The strategy trades from close to close.

The correct MAE for the trade is not $-17.27 but:

($189.13 - $192.98) * 520 = $2002.

So the MAE of $376.41 on the chart is not correct. It should be:

$393.68 - $2002 = $-1608.32

Regards

Attachments
  • Votes +3
  • Project StrategyQuant X
  • Type Bug
  • Status Fixed
  • Priority Normal

History

d
#1

Hamselv

02.01.2023 10:43

Attachment 1 Chart.png added

Attachment 2 Trades.png added

Attachment 3 Data.png added

Attachment Strategy 1349.sqx added

Strategy 1349.sqx
(65.57 KiB)
1 Chart.png
(119.97 KiB)
3 Data.png
(143.70 KiB)
2 Trades.png
(171.67 KiB)
d
#2

Hamselv

02.01.2023 10:44

Attachment 1 Chart.png added

Attachment 2 Trades.png added

Attachment 3 Data.png added

Attachment Strategy 1349.sqx added

3 Data.png
(143.70 KiB)
1 Chart.png
(119.97 KiB)
Strategy 1349.sqx
(65.57 KiB)
2 Trades.png
(171.67 KiB)
m
#3

Michal

02.01.2023 15:00
Voted for this task.
m
#4

Michal

02.01.2023 15:12
I agree, the same as described in this ticket: https://roadmap.strategyquant.com/tasks/sq4_9835
d
#5

Hamselv

02.01.2023 18:05
Yes and MAE+MFE should work correctly on the charts as well ;-)
E
#6

Emmanuel

15.01.2023 10:10
Voted for this task.
TT
#7

Tamas

18.02.2023 20:49

Status changed from New to Fixed

Attachment image-0.png added

Attachment image-1.png added

image-0.png
(598.89 KiB)
image-1.png
(415.04 KiB)
Thanks for reporting the bug. It is fixed

Votes: +3

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