[Build 135] Incorrect result of WF Avg Trades per year in data bank

Hello SQX team

Where could I get the definition of all the parameter/calculation formula used in the SQX

such as Average Trades Per Year and others that could be found below

Though commonly used term is straight forward but many terms need clarification as the way they are calculated in SQX

For example

WF no of trades in OOS period same as WF Avg Trades(of the OOS) per year in SQX seems very weird. Obviously it is an error in calculation.

As shown in the attached file. All WF# of trades (OOS) are identical to WF Avg Trades Per Year (OOS)

For commonly used definition WF Avg Trades Per Year (OOS) should be the number trades per years as calculate by "WF# of trades(OOS)/days in OOS period x 365days"

As for the highlighted strategy, the OOS period is approximately 90 days

WF# of trades (OOS) = 10

WF Avg Trades Per Year (OOS) should be (10/90)X365 = 41

If this is a bug due to incorrect formula for calculation I hope SQX team will correct this. I suspect this is not the only one parameter needs correction.

Otherwise I think user need to know exactly what is the definition/formula for calculation of all parameters used in SQX.

Is there a manual that list all the definition and usage of the parameters in SQX for user reference?

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Votes 0
Project StrategyQuant X
Type Bug
Status Fixed
Priority Normal

History

hotcabi

14.08.2021 01:58

Task created

Tamas

09.09.2022 12:44

Hello, please check our documentation here https://strategyquant.com/doc/strategyquant/results-overview/strategy-analysis-metrics

All stats values are implemented as snippets. You can open CodeEditor and check how each value (SQ.Columns.Databanks) is calculated exactly.

If you still think that there is a problem in the formula please attach the strategy and mark the problematic value on a printscreen.

Votes: 0