<- Back to Tasks

Ret/DD Ratio per year of every confidence level is wrong in MC trades manipulation

As you can see, Ret/DD Ratio per year of every confidence level is wrong in MC trades manipulation, but it is correct in MC retest method

Attachments

ret-dd ratio in MCTradeView.png

(3.75 MiB)

Votes +1
Project StrategyQuant X
Type Bug
Status Fixed
Priority Normal

History

binhsir

23.06.2023 09:40

Task created

binhsir

23.06.2023 09:43

Voted for this task.

Tamas

26.06.2023 11:12

Status changed from New to Waiting for information

Hello, there is no predefined metric named "Ret/DD Ratio per year" in SQX.

Can you attach the snippet file so I can check it ?

It should be like

int totalYearsOfTrading = stats.getInt("TotalDataYears");

return round2(safeDivide(ReturnDDRatio, totalYearsOfTrading));

binhsir

26.06.2023 14:37

Attachment SQExtension_RetDDPerYear.sxp added

SQExtension_RetDDPerYear.sxp

(662 B)

as you can see, upload snippet file

Tamas

26.06.2023 16:38

Status changed from Waiting for information to Fixed

Add TotalTradingYears to dependencies and it will work.

setDependencies("ReturnDDRatio", "TotalTradingYears");

binhsir

27.06.2023 14:53

Attachment WF Matrix - Strategy 420182.sqx added

Attachment RetDDPerYear.png added

Attachment QCZCEUR HOT-Minute-Trade.rar added

RetDDPerYear.png

(241.14 KiB)

WF Matrix - Strategy 420182.sqx

(1.03 MiB)

QCZCEUR HOT-Minute-Trade.rar

(1.70 MiB)

I changed the code of RetDDPerYear.java , but It not work. In fact, For some strategies, it seems to work. But I didn't find difference. You can retest this strategy.

Or because I did something wrong? please tell me.

Votes: +1