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111: weird stuff on correlation when checking daily strats.

Mark: I have noticed some strange stuff when checking daily strategies.  Can you take a look at this please? 

See attachments.
The software is saying that MANY of them are 1.0 which cannot be.
When you look deeper it is reporting that some strategies only traded in one month which they did not.


- Josh

Attachments
CORRELATION.jpg
CORRELATION.jpg
(340.31 KiB)
Strategy 24621.sqx
Strategy 24621.sqx
(181.27 KiB)
Strategy 21976.sqx
Strategy 21976.sqx
(191.69 KiB)
Strategy 23275.sqx
Strategy 23275.sqx
(217.75 KiB)
Lots of 10 numbers.jpg
Lots of 10 numbers.jpg
(340.48 KiB)
Strategy 24045.sqx
Strategy 24045.sqx
(179.97 KiB)
Strategy 21968.sqx
Strategy 21968.sqx
(188.58 KiB)
Strategy 22073.sqx
Strategy 22073.sqx
(189.58 KiB)
Strategy 14972.sqx
Strategy 14972.sqx
(183.51 KiB)
Strategy 11384.sqx
Strategy 11384.sqx
(184.23 KiB)
  • Votes +1
  • Project StrategyQuant X
  • Type Bug
  • Status Fixed
  • Priority Normal

History

j
#1

jmtc1230

08.10.2018 03:38

Task created

h
#2

hankeys

08.10.2018 07:03
Voted for this task.
TT
#3

Tamas

08.10.2018 10:49

Status changed from New to In progress

MF
#4

Mark Fric

08.10.2018 15:36
asi mame zle rozpoznavanie co su cancelled v pocitani korelacii. Expired nie su cancelled.

Cancelled maju byt take, ktore ani neboli otvorene a vyexpirovali. podla screenshotu to vyzera, ze vsetky obchody boli normalne obchodovane, a ukoncene po X baroch, a maju status expired.


Takze je treba do pocitania korelacie pridat, aby ignoroval iba tie obchody ktore ani neboli otvorene - tie asi maju ClosePrice = 0, a PL = 0 alebo N/A

h
#5

hankeys

09.10.2018 07:35
a dělají to i jiné strategie, nejenom daily - prostě v korelační tabulce vůbec nejsou uvedeny měsíční výsledky při měsíční korelaci - jaksi to tam nenačítá ty výsledky, ať už profity nebo i ztráty
TT
#6

Tamas

09.10.2018 07:52
It will be fixed in next release. There was a problem with recognizing canceled orders in snippets under SQ/CorrelationOf. 


eg. ProfitLoss

there was missing check for pl==0 if(isCanceledOrder(order) && order.PL == 0) {

skip only orders which were never opened

Votes: +1

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