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[128] Can you help me to check the percentage value in SQX wrong or not?

Dear SQ team

I find that the percent value in the result page was wrong calculate by my initial capital
I setting my initial capital with 2000
In the overview I get average profit in money was 169.33 but 169.33/2000 = 0.0846(8.46%), the overview show the yearly avg % return was 11.58%
The same question with drawdown my drawdown money was 694.57 but the percent was 20.1% I think it must be 694.57/2000 = 0.347(34.7%)
So, I can't confirm that what is the Benchmark of my capital to calculate the %.

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  • Votes 0
  • Project StrategyQuant X
  • Type Bug
  • Status Refused
  • Priority Normal

History

SC
#1

fxchess

17.06.2020 05:34

Task created

SC
#2

fxchess

17.06.2020 05:55

Attachment 2020-06-17 114909.jpg added

Attachment 2020-06-17 115445.jpg added

2020-06-17 114909.jpg
2020-06-17 114909.jpg
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2020-06-17 115445.jpg
2020-06-17 115445.jpg
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The value is too big Especially in future(multichart engine)
MF
#3

Mark Fric

18.06.2020 10:43

Status changed from New to Refused

I checked it, there is not a bug.


Percentage profits per order  are computed as Time-Weighted Return, more info here:

http://www.youtube.com/watch?v=NFwe8CS1TYQ

http://www.investopedia.com/exam-guide/cfa-level-1/quantitative-methods/discounted-cash-flow-time-weighted-return.asp


As for a very big value of % profit for futures - you have initial capital $10000, but the total strategy profit is $146000. With time weighted return it matches.

SC
#4

fxchess

18.06.2020 10:51
Thank you very much Mark.

I got it, so SQX use Time-Weighted Return for calculate the % .

Thank you.

Votes: 0

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