<- Back to Tasks

Crosschecks

Could we add a crosscheck were we simulate a -x% lower winrate. Since often a strategy can fail badly just because when trading it the winrate say only 5% lower then average backtested and ultimately it should not totally fail because of this but in reality it is happening.
Attachments
No attachments
  • Votes +1
  • Project StrategyQuant X
  • Type Feature
  • Status Refused
  • Priority Normal

History

m
#1

mabi

29.08.2020 07:50

Task created

m
#2

mabi

01.09.2020 07:32
Well i meant, say IF average win% is 50 but what happens  if it is  45% going forward which mean that 5% of the winners is instead is  losers. How sensitive is the strategy to this.
m
#3

mabi

01.09.2020 07:32
Voted for this task.
h
#4

hankeys

01.09.2020 12:32
strategies with lower win% will be more sensitive...so this test will be in favor for bigger win% strats
m
#5

mabi

02.09.2020 22:48
I bet this together with randomize trades order can produce very diffrent DD scenarios from singel strategies as experianced show from years of using SQ.
m
#6

mabi

07.09.2020 13:24
seems already 129 new what if exclude x% largest and lowest winners have intended effect sorting out sensetive strategies.
MF
#7

Mark Fric

11.09.2020 12:13

Status changed from New to Refused

can be made using What if rule
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