Wrong data reported in the Optimizer

Hi, I found another bug relating to Walk Forward Analysis in SQX. Now it's about the report of results. 



The bug is that all table results shown in columns reporting "Walk-Forward Optimization, WF Result" include the first segment of the full analysis, and this first segment does not belong to Walk-Forward Optimization, because it is just In Sample. This is proven by Figure 1 (attached here). Figures 2 and 3 are used to show that this segment is included in the "Walk-Forward Optimization, WF Result" column, while the OOS results of WFA are not listed in the table. In fact, it is impossible to show WFA OOS results in the table, because this option does not exist. If we create a column to show OOS results, what is shown is the OOS of the original strategy, and NOT the OOS results of Walk-Forward Analysis. 


This is another serious bug that has dramatic effects in the results, particularly because quant strategy developers will inevitably use the columns to sort strategies based on WFA OOS results. If these results are including In Sample data, they are conceptually wrong. 


Would you please fix this?


Jose

Attachments
Figure 1 - equity chart and WF Periods.png
(242.41 KiB)
Figure 2.png
(238.49 KiB)
Figure 3.png
(249.10 KiB)
  • Votes +6
  • Project StrategyQuant X
  • Type Bug
  • Status Fixed
  • Priority High

History

m
#1

jose moreira

19.12.2018 17:48

Task created

KL
#2

kainc301

19.12.2018 22:21
Voted for this task.
m
#3

mabi

19.12.2018 22:50
Voted for this task.
mp
#4

Michele

26.12.2018 20:57
Voted for this task.
b
#5

bentra

28.12.2018 23:02
Voted for this task.
o
#6

Enric

30.12.2018 13:01
Voted for this task.
TT
#7

Tamas

31.12.2018 08:04

Status changed from New to In progress

MF
#8

Mark Fric

31.12.2018 13:48
ano tie WF conditions prepisem.
AC
#9

AC1962

01.01.2019 11:16
Voted for this task.

Votes: +6

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