[Build 114] Degrees Of Freedom - No Values (Still) - All strategies have 0% DF - and ranking is set to MINIMIZE it which is wrong

I posted 2 bugs regarding this issue already, starting end of September, none have been acknowledged so far...I know you guys are crazy busy :)



Degrees Of Freedom - doesn't work, calculated value is always zero.


Degrees of Freedom is one of the most important metrics when optimizing and developing a system - if there is no 'space' for all the data demanded by the parameter calculations to exist freely withing the data set, then the strategy will fall apart in the real world.


Ideally, degrees of freedom should be >=95%, and preferably >=99%.


Currently , all strategies, at all stages without exception = 0% Degrees of Freedom. This is very worrying if true, which is why I am assuming this calculation simply isn't working.


Also, in the strategy quality ranking filters, Degrees of Freedom is set to minimize, with no ability to change this. This is wrong, it should be maximize.

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  • Votes +5
  • Project StrategyQuant X
  • Type Bug
  • Status Fixed
  • Priority Normal

History

N
#1

nathan

15.11.2018 10:27

Task created

m
#2

mabi

15.11.2018 10:46
Voted for this task.
N
#3

nathan

15.11.2018 17:11
Voted for this task.
p
#4

Pasquale

16.11.2018 09:26
Voted for this task.
MF
#5

Mark Fric

16.11.2018 11:38

Status changed from New to Fixed

I added it there. But I don't understand your definition and % values of Degrees of freedom.


 In SQ Degrees of freedom is simply number of all configurable parameters the strategy has - minus Shift and boolean parameters.

p
#6

Pasquale

16.11.2018 18:48
The value in the degree of freedom column is always zero
p
#7

Pasquale

16.11.2018 18:48

Subject changed from [Build 114] Degrees Of Freedom - No Values (Still) - All strategies have 0% DF - and ranking is set to MINIMIZE it which is wrong to Degrees Of Freedom - No Values (Still) - All strategies have 0% DF - and ranking is set to MINIMIZE it which is wrong

The value in the degree of freedom column is always zero
h
#8

hankeys

16.11.2018 19:29
Voted for this task.
b
#9

bentra

16.11.2018 19:42
"Ideally, degrees of freedom should be >=95%, and preferably >=99%."

Implying you're referring to the definition published by Robert Pardo in his book but SQ doesn't calculate it that way. ("Number of degrees of freedom" is defined in wiki as something entirely different.) Filtering to minimize is correct as it is currently calculated in SQ. 

May I suggest a new feature request ("New stat: remaining percentage degrees of freedom" or something like that?) 
MF
#10

Mark Fric

13.12.2018 09:00
we use "normal" formula to Degrees of freedom, which is number of strategy parameters. Ideally strategy should have low degrees of freedom.


Degrees of freedom by Pardo is something else. We might implement it in future, but please open nex task if you need it.

g
#11

geektrader

13.12.2018 09:02
Voted for this task.
MF
#12

Mark Fric

29.05.2020 13:08

Votes: +5

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