Overestimated STRs Quality Number (Van Tharp)

Hello,



Reading about Strategy Quality Number calculation in book Definitive-Guide-to-Position-Sizing from Van Tharp, Van Tharp describe there is a overestimation in SQN with strategies with number of trades greater than 100 trades (Page 32). The Van Tharp solution is multiplying expectancy/StdDevition by 10 for the strategies that have more than 100 trades. So, its necessary to change the SQN calculation when you have STRs with more than 100 trades. I attached the book description.



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  • Votes +8
  • Project StrategyQuant X
  • Type Bug
  • Status Fixed
  • Priority Normal

History

FB
#1

lumbrjack

13.12.2018 15:52

Task created

FB
#2

lumbrjack

13.12.2018 15:52
Voted for this task.
IH
#3

clonex / Ivan Hudec

13.12.2018 16:41
Voted for this task.
h
#4

hankeys

13.12.2018 18:35
Voted for this task.
RL
#5

rickliao

13.12.2018 18:37
Voted for this task.
DR
#6

mentaledge

13.12.2018 19:50
Voted for this task.
m
#7

mabi

13.12.2018 22:32
Voted for this task.
N
#8

nathan

13.12.2018 22:35
Voted for this task.
MF
#9

Mark Fric

21.12.2018 16:36

Status changed from New to Fixed

modified SQN formula according to recommendation
e
#10

eowithrand

28.12.2018 01:07
Voted for this task.

Votes: +8

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