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Stability problem.

Hello,


I have thought that stability in SQ was the same value with R squared.
(https://view.officeapps.live.com/op/view.aspx?src=http://www.radicalmath.org/Powerpoints/RSquared.ppt)
but current SQ4 Beta5 seems have different concept for stability.
Please can you let us know about the stability concept used in SQ4 B5?


One of my strategy which has stability(R2) of 0.96 on my own tool has stability value of 0.6 in SQ4 B5.


Malim

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  • Votes 0
  • Project StrategyQuant X
  • Type Bug
  • Status Fixed
  • Priority Normal

History

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#1

anonymous

02.09.2017 19:24

Task created

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#2

anonymous

08.09.2017 12:48

Attachment Stability076.png added

Attachment Stability084.png added

I can't understand this values. stability 0.76 seems much more linear than stability 0.84.

Seems like it is dependent to the total number of trades..

Malim


MF
#3

Mark Fric

20.11.2017 14:15

Status changed from New to Fixed

stability in SQ4 is computed as correlation between eqity line and straight line from beginning to end, multiplied by Net profit.


So is not as same as R-squared, but the most important point is that Stability in SQ4 depends also on Net profit. 

It doesn't measure only the distance from the ideal line, but also how "steep" in terms of Net profit the line is.


You can check the whole formula in this snippet: SQ.Columns.Databanks.Stability


I added also standard R-squared statistics value to databank columns.


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