SQX 111 - Restest cross-check of drawdown shows fail when drawdown is zero (100% win rate)

Hi Mark,

If you restest a strategy with cross checks to compare drawdown when retesting on higher precision, and the drawdown is zero, the strategy fails the crosscheck, even though the DD is zero.

Suggest changing the comparison there to <= instead of < so that zero DD passes the test.

See screenshots attached for details.

Thanks,

Mike

Attachments

SQX 111 - Change default comparison for Max DD in Cross Check.png

(53.10 KiB)

SQX 111 - Cross check shows strategy fail when drawdown is zero.png

(83.84 KiB)

Votes 0
Project StrategyQuant X
Type Bug
Status Fixed
Priority Normal

History

mikeyc

08.10.2018 19:38

Task created

Tomas Brynda

09.10.2018 07:52

Status changed from New to Fixed

Votes: 0