WFM RESULTS vs RUN

I am getting some strategies that PASS in the WFM Result and Databank but show FAILED in the WFM Run.



Is this a bug or how are we to judge these results? Screenshot attached.

Attachments
SQX-WFMatrix vs Filters result - PASSED FAILED.png
(105.82 KiB)
  • Votes 0
  • Project StrategyQuant X
  • Type Bug
  • Status Fixed
  • Priority Normal

History

d
#1

DiggerOfTruth

08.09.2019 22:09

Task created

h
#2

hankeys

09.09.2019 08:35
you know what you are doing in WFM and how the results are evaluated?


you have set the WFM filter as follows: you are looking for 3x3 matrix (9 results), where at least 7 results has robustnest score > 80%


and you see that the best combination of the 3x3 matrix has 8 of 9 passed results - because of that final result of WFM is PASSED, because 8 > 7


and its obvious, that some runs will be FAILED, because they have robustnest score < 80%


i dont see any problem at all, you need to know what you are doing...

h
#3

hankeys

09.09.2019 08:38
https://strategyquant.com/doc/walk-forward-matrix


only from old SQ, but the basics are the same in SQX

TT
#4

Tamas

11.09.2019 21:26

Status changed from New to Fixed


Votes: 0

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