ProfitFactor error
In 1 year backtest have strategy only 8 profit trades and no losses, all is in profit, but Profitfactor is still 0.
OK, by zero can not be divided, but there should be another value for filtering.
Maybe 9999 and in "Filter result" show "!" with notice of a small number of trades.
PS: In Code Editor, I see the assignment of result 5 in a similar situation, for strategies with a lower number of trades than 10, but I do not think it's right too.
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Votes +2
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Project StrategyQuant X
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Type Bug
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Status Fixed
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Priority Normal
History
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MF
Mark Fric
10.04.2019 08:20Status changed from New to Fixed
ok, ProfitFactor will be set to 9999 if there are no losing trades.
MF
Mark Fric
10.04.2019 08:25
I had to recondiser it, returning such a bg value of ProftFactor iwll disort the results in ProfitTarget is used in weighted fitness.
So it will return ProfitFactor=5, not 9999, when there is no loss.
Votes: +2
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If I use an automatic filter for profitfactor <1.0, I'm currently losing strategies that are only profitable in the given test type. Which is totally wrong. I want to keep these startegies.
In addition, the profit factor is used for other calculations in SQX, which leads to other bad conclusions and errors in the evaluation.
The problem was reported in the https://roadmap.strategyquant.com/tasks/sq4_3133 task, but sugested solution there does not solve the real problem at all.
Prosím o řešení tohoto problému.
Pokud v projektu používám automatický filtr na profitfactor < 1.0 , tak v současné době přijdu o strategie, které jsou v daném typu testu jen ziskové. Což je ale úplně špatně. Já chci tyto startegie zachovat.
Profit faktor je navíc používán o při jiných výpočtech v SQX, což tím pádem vede k dalším mylným závěrům a chybám ve vyhodnocení.
Problém byl hlášen už v tasku https://roadmap.strategyquant.com/tasks/sq4_3133, ale tam navržené řešení vůbec neřeší podstatu problému.