B127 - Avg. Trades/Profit Per Month IS/OOS not calculated correctly

Hi,



Avg. Trades Per Month is not calculated correctly between IS and OOS

In both IS and OOS it takes the entire period (IS + OOS) to calculate the Avg. Trades Per Month



I have also checked the Avg. Profit Per Month and it's the same. It's not calculated correctly.
I haven't reviewed other related metrics "for years," "for days," but I think you should review them just in case.


attach two strategies:
(1) IS only:  from 2004.01.01 to 2011.12.31
(2) IS and OOS: from 2004.01.01 to 2015.12.31

  • IS: from 2004.01.01 to 2011.12.31
  • OOS: from 2012.01.01 to 2015.12.31

Regards,

Attachments
P_1000_329180_IS_OOS.sqx
(54.01 KiB)
P_1000_329180_IS_Only.sqx
(47.60 KiB)
  • Votes +1
  • Project StrategyQuant X
  • Type Bug
  • Status Fixed
  • Priority Normal

History

m
#1

Mariano

28.04.2020 18:33

Task created

m
#2

Mariano

28.04.2020 19:04
Voted for this task.
m
#3

Mariano

29.04.2020 01:14

Attachment 2.png added

Attachment 1.png added

I have been testing with the WF and what is related to the Avg Trades Per Month does not calculate it well (R Expectancy Score)
MF
#4

Mark Fric

04.05.2020 13:10

Status changed from New to Fixed

Attachment avg.jpg added

Avetage trades/profit per month work for me - see the attached image, you probably configured the view incorrectly.


I fixed the problem in WF Matrix chart there was a bug there.

m
#5

Mariano

04.05.2020 13:22

Attachment 1.png added

HI


I still think the calculation of Avg Trades Per Month is still wrong.


Shouldn't the values ​​in column  Avg Trades Per Month (IS) be the same?

In the first it is IS + OOS but in the second it is only IS, but both values ​​should match.


(1) IS only:  from 2004.01.01 to 2011.12.31
(2) IS and OOS: from 2004.01.01 to 2015.12.31

  • IS: from 2004.01.01 to 2011.12.31
  • OOS: from 2012.01.01 to 2015.12.31

Thanks


MF
#6

Mark Fric

04.05.2020 14:11

Status changed from Fixed to In progress

you are right, I have to lok at it more
MF
#7

Mark Fric

05.05.2020 09:59

Status changed from In progress to Fixed

fixed it

Votes: +1

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