Fix ocassional spike in WF stability chart
see chart - there are only 4 WF runs and one of them has extremely big value for WF Stability of Ret/DD ratio.
It is because in that result Ret/DD for the first run is 1553 - there are only 7 trades, and Net profit OOS = 500 while Drawdown OOS = 0.5This creates very big Ret/DD value which then causes this spike.
Possible solution - in the WalkForwardStability computation ignore the period value that is bigger that 3* stvdev of all values.
This will remove "extreme" values that disort the result.
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Votes +1
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Project StrategyQuant X
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Type Bug
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Status Archived
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Priority Low
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Assignee Mark Fric
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Milestone Archived (To be done later)
History
Votes: +1
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