126; Correl/ Add empty periods seems to now work
If i disable this option in list should not be values with zero value. But they are there :) This bug is also in QA.
And when i check/uncheck this option there is no difference.
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Votes 0
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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
IH
h
hankeys
05.02.2020 20:54
week 1, 7 and 15 are missing - in both strategies should be zero profit, because of that the rows are missing
b
IH
clonex / Ivan Hudec
07.02.2020 09:06
Im not sure if it true. There is no reason to calculate correl between yero occurrence. Ive implemented correl outside sqx but actually im computing correl only when both occurrences are happen. I'll try to modify intersect function in order to compute correl and ill will see
b
h
hankeys
10.02.2020 07:15
there is a reason, imagine 2 strategies with this monthly profits
strat 1: 5,0,9
strat 2: 0,0,10
without empty periods it will calculate only correlation between months with trades (5,0) and (9,10)
and with empty periods it will calculate all months (5,0) (0,0) (9,10)
and thus the correlation must be different
h
hankeys
10.02.2020 07:18
and second reason - you will have daily strategies with example only 200 trades in 17 years...so there are many months without trades and you want to compute the month correl
without empty periods the value of correl will be always very low and i am talking about monthly (strongest) correlation - weekly, daily - doesnt make sense
so for low number of trades you need to compute the correl with empty periods
IH
clonex / Ivan Hudec
15.02.2020 22:39
but question remains: if i turn on o turn off this option there isnt difference
TT
TT
Tamas
21.02.2020 09:35Status changed from In progress to Fixed
It works as it is expected.
It is explained well here https://strategyquant.com/forum/topic/3772-help-file-for-quant-analyzer/
Votes: 0
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