SQ 4.125 latest Release, stability in Portfolio is not correct generated with workflow building block

Hi,
I generated a portfolio of 26 Strategies in the workflow with the portfolio building block.

I build the same portfolio in the retester function.

=> The stability of IS and OOS is not the same.

tests:
Portfolio with Retester:  IS=0.92 OSS=0.84
Portfolio in workflow IS=0.92, OOS=0.83 (ok)
Portfolio generated with BuildingBlock (Create Portfolio) IS=0.85, OSS=0.64

The parameters for Profitfkator are ok.



Attachments
workflow Portfolio function.png
(72.08 KiB)
workflow.png
(60.10 KiB)
Retester portfolio.png
(92.60 KiB)
Retester datasettings.png
(39.30 KiB)
filtering improvement workflow.cfx
(4.14 KiB)
  • Votes +1
  • Project StrategyQuant X
  • Type Bug
  • Status Fixed
  • Priority Normal

History

t
#1

tnickel

10.11.2019 13:25

Task created

Rr
#2

Partizanas

10.11.2019 20:34
Voted for this task.
TB
#3

Tomas Brynda

11.11.2019 10:07

Status changed from New to Waiting for information

Attachment screen.png added

From your screenshots I can see you are not using Portfolio type of columns. 

Please try to modify your view's columns to use portfolio as an input - see the attached screenshot.


If using main result columns, it takes values of one of the contained strategy inside portflio.

 

Let me know if it helped


t
#4

tnickel

11.11.2019 10:46

Ok, I will try this. This can be the reason. I have never looked for this parameter before.


But I think other users will have the same problem in the future. If there is a special type "portfolio" for the portfolio profitfaktor.

If I make a portfolio of backtests and look for the Profitfaktor, I always mean the portfolio for this case. I suggest to mark this parameter red or give a hint if there is the wrong setting. 





t
#5

tnickel

12.11.2019 00:40

Attachment portfolio with workflow.png added

Attachment portfolio.png added

Hi Tomas,

I checked this.

I changed values to portfolio


Now portfolio and portfolio with workflow ist the same in stability

TB
#6

Tomas Brynda

12.11.2019 08:06

Status changed from Waiting for information to Fixed

Ok, thank you for your response.

In most cases the best way is to use Portfolio types of columns, because it shows what you expect, we use it in the default view too.


I think Main data stats are good to use when for example doing additional markets backtests and you want to see the stats for the main chart only, not all the charts combined.


I am closing this task. We will think about modifying the UI to make it clear when creating custom views.


Best regards,

Tomas


Votes: +1

Drop files to upload

or

choose files

Max size: 5MB

Not allowed: exe, msi, application, reg, php, js, htaccess, htpasswd, gitignore

...
Wait please