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WFM evaluation is impossible

Hi, in SQX 116 the WFM continue to have problems that make this important process useless. However i think they are not difficult tasks to solve.
All these problems are explained in all the images attached.


ask me If you need more information

thankyou very much
Michele  

Attachments
3.png
3.png
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2.png
2.png
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6.png
6.png
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4.png
4.png
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7.png
7.png
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5.png
5.png
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Settings.cfx
Settings.cfx
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8.png
8.png
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EURUSD H1.str
EURUSD H1.str
(353.84 KiB)
1.png
1.png
(526.82 KiB)
  • Votes +12
  • Project StrategyQuant X
  • Type Bug
  • Status Fixed
  • Priority High

History

mp
#1

Michele

24.12.2018 01:42

Task created

m
#2

mabi

24.12.2018 02:03
Voted for this task.
b
#3

bentra

24.12.2018 09:22
Voted for this task.
b
#4

bentra

24.12.2018 10:11
Thank you Michele for taking the time to create this report, well done. Good catches.

Anything "FullSample" is always useless in a WF scenerio. The point of a WF is to test how a system might work in the future live. A good way to learn how a system might work in the future live is to analyze OOS results. Putting In-sample results and OOS results together to make "fullsample" stats is so frustratingly illogical in such an otherwise brilliant software. 
DR
#5

mentaledge

24.12.2018 21:47
Voted for this task.
m
#6

jose moreira

26.12.2018 19:06
Voted for this task.
m
#7

jose moreira

26.12.2018 19:09
I agree this bug makes WFM useless. 


I also reported something similar: https://roadmap.strategyquant.com/tasks/sq4_3720


mp
#8

Michele

26.12.2018 20:57
Voted for this task.
o
#9

Enric

27.12.2018 20:51
Voted for this task.
e
#10

eowithrand

28.12.2018 01:07
Voted for this task.
AC
#11

AC1962

28.12.2018 10:18
Voted for this task.
MF
#12

Mark Fric

30.12.2018 21:27
hello Michelle,

we fixed all points except 6 - spike in stability. Which version of SQ did you used when you created this task?

Stability was fixed last build (116).


If it still behaves like this would you be able to save and attach the WF result with this spike?

g
#13

geektrader

30.12.2018 21:29
Voted for this task.
N
#14

nathan

30.12.2018 22:11
Voted for this task.
mp
#15

Michele

31.12.2018 00:13

Attachment WF Matrix - EURUSD H1.sqx added

Thanks Mark.

I used the 116 version.

OK, I attach the WF result with the spike.

rg
#16

Robert Gergelyi

31.12.2018 11:11
Voted for this task.
MF
#17

Mark Fric

31.12.2018 15:24

Status changed from In progress to Fixed

I found the reason for spike, created new low priority task for it : https://roadmap.strategyquant.com/tasks/sq4_3845


It is created by extreme value of Ret/DD in one of the results. We have a lot of higher priority tasks to solve right now.

MF
#18

Mark Fric

04.01.2019 13:12
Some explanation regarding evaluation and comparison with original strategy - Original strategy doesn't have OOS, so you cannot compare WF result with original strategy on OOS part. 


In WF Matrix there are multiple results, and each has a different OOS period start, so we cannot compute stats of original strategy for given WF result.

a
#19

Venus

14.01.2020 19:42
Voted for this task.
Votes: +12

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