Profit factor is set to 5 if win rate is 100%

When ranking strategies by profit factor, those which should have infinite profit factor (no losses only wins) as given a PF of 5.



This ranks them below other strategies where there are some losses and profit factor might be 5 or more.


Please set the values that should be infinity to a very high value, so would say PF should be 99999 or something, not 5 please.




Attachments
SQX 120 - PF 5 if win rate 100 percent.png
(22.56 KiB)
  • Votes +3
  • Project StrategyQuant X
  • Type Bug
  • Status Fixed
  • Priority Normal

History

m
#1

mikeyc

04.05.2019 18:06

Task created

m
#2

mabi

08.05.2019 13:38
Voted for this task.
KA
#3

KlausA

08.05.2019 15:21
Voted for this task.
m
#4

mikeyc

09.05.2019 16:26
Voted for this task.
TT
#5

Tamas

23.08.2019 09:42

Status changed from New to Fixed

It works as it is expected. If grossLoss is zero than profit factor is 5. You can check SQ.Columns.Databanks.ProfitFactor snippet how it is computed

Votes: +3

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