Display WF equity as three lines

as suggested here: https://roadmap.strategyquant.com/tasks/sq4_3407



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 I would like to see 3 separate equity lines. Original, In sample (Green Bits Underneath), and Out Of sample (red bits underneath). This will then allow several more important, yet still basic, measurements; Walk Forward Efficiency Ratio - this compares the rate at which the Optimised Out Of Sample equity made profit compared to the Optimised In Sample equity line. I would also want to compare my own retest-OOS date period Optimised Out of Sample equity line with the Optimised In sample equity line during my Retest-OOS period and calculate the Walk Forward Efficiency Value for this period too. I would also like to compare the original equity line with the Optimised In Sample Equity Line to see if the strategy responded to optimisation in the first place. I consider these 3 calculations basic filters if Walk Forward Analysis is going to be conducted at all. Obviously all 3 equity lines will be different in length due not the nature of walk forward, but this should not be prohibitive to its implementation, and the ability to define the period for which the filters are measuring the values shouldn’t be that hard either.

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TODO:
Add one more option "3 lines" to switch Full sample / IS / OOS new chart type - it will display three equity lines: original, green (optimizing in sample part), red (optimized part run on unknown data.






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  • Votes +2
  • Project StrategyQuant X
  • Type Feature
  • Status Archived
  • Priority Low
  • Assignee Tamas
  • Milestone Archived (To be done later)
  • Category UI

History

MF
#1

Mark Fric

15.11.2018 07:35

Task created

N
#2

nathan

15.11.2018 07:38
Voted for this task.
b
#3

bentra

15.11.2018 12:02
Voted for this task.
N
#4

nathan

15.11.2018 13:09
Just to be crystal clear: 3 equity lines: Optimized, WF, Original. Ability to compare each. And generate metrics and filters between each.  And compare within the same exact date range where absolute value metrics are being compared. My first attempt at articulating it above could have been a little more succinct :)
TT
#5

Tamas

15.11.2018 16:44

Milestone changed from Build 114 to Build 115

Category changed from None to UI

MF
#6

Mark Fric

02.09.2019 14:48

Milestone changed from To be done later to Build 125

MF
#7

Mark Fric

30.10.2019 08:33

Milestone changed from Build 125 to To be done later

MF
#8

Mark Fric

16.02.2020 13:52

Status changed from New to Archived


Votes: +2

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