signs of severe rounding issues in r-expectancy SCORE. Solution included.

The 2 decimal "output accuracy" of r-expectancy score itself is not the problem. Something within the formula is being rounded way too much. You can see the "gan line pattern" in the r-expectancy chart, (everything is rounded to the nearest line) the more trades there are the less accurate (more rounded) r-expectancy SCORE becomes, also, with 1k trades in OOS, you can see in the table many 0's and nothing in between ~ 2.7 and ~ -2.7. 

EDIT:
The solution is to base the r-expectancy SCORE column on a more accurate r-expectancy column. By simply creating an r-expectancy column that is accurate to 4 decimals instead of two and then creating an r-expectancy SCORE column based on this more accurate r-expectancy column I was able to eliminate the rounding issues.
To be clear:
R-expectancy rounded to 4d,
R-expectancy SCORE based on the more accurate R-expectancy but R-expectancy SCORE still rounded to 2d
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Screenshot 2022-03-31 113642.png
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Screenshot 2022-03-31 114052.png
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  • Votes +5
  • Project StrategyQuant X
  • Type Bug
  • Status Fixed
  • Priority Normal

History

b
#1

bentra

31.03.2022 17:50

Task created

b
#2

bentra

31.03.2022 18:06
Voted for this task.
b
#3

bentra

31.03.2022 18:35

Attachment Screenshot 2022-03-31 123449.png added

Screenshot 2022-03-31 123449.png
(171.20 KiB)
The solution is to base the r-expectancy SCORE column on a more accurate r-expectancy column. By simply creating an r-expectancy column that is accurate to 4 decimals instead of two and then creating an r-expectancy SCORE column based on this more accurate r-expectancy column I was able to eliminate the rounding issues.


SF
#4

sebasfiorent

31.03.2022 19:54
Voted for this task.
M
#5

MM1

01.04.2022 01:01
Voted for this task.
E
#6

Emmanuel

03.04.2022 12:58
Voted for this task.
CG
#7

Chris G

18.04.2022 18:37
Voted for this task.

Votes: +5

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