In the Databank : Max Intraday Drawdown calculus is made on the full period only

In the Databank column  : 

 

If you select the In Sample "Max Intraday Drawdown", the  calculus is made on the full period only.

 

It looks like you have the IS results , but in reality you have the Full period calculus

 

In this example:  the In Sample period is from 2017 to July 2018 included .

 

but the IS results will include the OOS results of August 2018 to december 2018 (as you can see on thee capture attached)



I attached a strategy, without the OOS period and with the correct results, and the same strategy with OOS with IS Max Intraday Drawdown (with incorrect results)

 



 

Attachments
Strategy 215160 with Error .sqx
(34.91 KiB)
Strategy 215160 retested without OOS period without error.sqx
(27.74 KiB)
Capture.jpg
(171.00 KiB)
  • Votes +3
  • Project StrategyQuant X
  • Type Bug
  • Status Fixed
  • Priority Normal

History

E
#1

Emmanuel

29.01.2022 14:07

Task created

E
#2

Emmanuel

29.01.2022 14:07
Voted for this task.
b
#3

bentra

25.03.2022 17:31
Voted for this task.
c
#4

crazyhedgehog

31.08.2022 10:25
Voted for this task.

Votes: +3

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