[110] Filters Ignored (> Add Net Profit per Week/Month/Year Filter Options)

I recently found the same issue in 3.8.2 but figured better to post it here.
I apply the Filter Avg. Profit Per Month set to Full Sample with condition <= $0 for both Ranking & Filtering and Cross Checks but it is ignored.

You'll need to make sure to document how to set Full Sample, IS or OOS. They get set to IS by default and I only figured out how to change it by accident.
* For anyone wanting to know how to edit Filter settings, you double-click on the Filter after you've added it then you'll get an editing window like the attached image.
Attachments
SQ110 - Avg Profit Per Month LT0.png
(46.24 KiB)
SQ110 - Edit Filter.png
(20.46 KiB)
  • Votes 0
  • Project SQ Programming
  • Type Feature
  • Status New
  • Priority Normal

History

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#1

drayzen

19.09.2018 09:38

Task created

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#2

drayzen

19.09.2018 09:38

Attachment Filter - Avg Profit Per Month.xml deleted

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#3

drayzen

19.09.2018 09:38

Attachment Filter - Avg Profit Per Month.xml added

Filter - Avg Profit Per Month.xml
(1003.63 KiB)

I think I had the operator around the wrong way.

Still a little confused given this seems to only be working intermittently, that is provided it's function is what I'm thinking.

My expectation is that setting Avg. Profit Per Month > $0 requires there to be a profit for each and every month in the test period.

If this is just and average of the entire test period then the option is useless along with the Daily and Yearly being redundant because that would mean Per Day x30 = Per Month and Per Month x12 = Per Year.


If that is correct, maybe the 'Avg.' can be removed from these # of Trades and Profit Per d/m/y Filters and make them absolute for the nominated period so they can actually be useful.

MF
#4

Mark Fric

19.09.2018 09:38

Status changed from New to Waiting for information

Avg. Profit Per Month is average of all profits, it doesn't guarantee that profit for every moonth will be > 0. 


What you want is a "Minimal profit per month". It is possible to compute statistics like this, but I think this condition will be extremely strict. It would be extremely difficult to find a strategy that will have all months profitable in real trading.

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#5

drayzen

19.09.2018 09:38

Hi Mark,

Yes, that sounds like what I'm after. I realise a monthly application is very strict, but we are chasing the 1/1M after all...  ;)

I'm doing a brute force approach with Random Generation so this suits, and if I can find some with this then, yipee!

Now just waiting for AMD to release a 7nm 64C/128T Threadripper to really put the hurt on those numbers...

This also seems to me a way to apply minimal complexity of filtering to target a high quality outcome.


If you can please add the following in a future build it would be appreciated:

Minimum Profit Per Month

Minimum Profit Per Year


I am still curious about those 'Avg.' filters, is their behaviour as I detailed where they are an average over the entire test period and equivalent by x30 and x12?


p.s. I sent you some Forum messages, did you receive them?

thanks, Al

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#6

drayzen

19.09.2018 09:38

Attachment SQ111 Net Profit per X.png added

SQ111 Net Profit per X.png
(42.20 KiB)

Hi Mark,

I was thinking further on this and it would make more sense to align with current naming conventions, so use Net Profit:

  • Net Profit per Month ±
  • Net Profit per Year ±

You'll notice I've added the http://unicode.org/cldr/utility/character.jsp?a=00B1 suffix to indicate the input supports negative values.

The only issue might be some users perceiving that to mean deviation, in which case another way of displaying input options would need to be used.

As you pointed out this would be a strict requirement if the only input option is => 0, if you can enable negative numbers for the input it can be set to e.g. => -12.5% so as to allow for losses while restricting them to a floor level.


thanks, Al

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#7

drayzen

19.09.2018 09:38

Subject changed from [110] Filters Ignored to [110] Filters Ignored (> Add Net Profit per M/Y Filter Options)

Type changed from Bug to Feature

Update Type & Title
MF
#8

Mark Fric

21.09.2018 13:48

Status changed from Waiting for information to New

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#9

drayzen

02.11.2018 12:55

Hi Mark,

Does this being moved here mean that you won't be adding these Net Profit per M/Y filters in main SQ, and I'll have to wait and see if someone will create this as an add-on?

I'm really keen to try with these filters and I thought it wouldn't be that difficult to add another one, or does using negative values present a major problem?


p.s. Looks like there's a bug with PP as all of my attachments above have gone missing...

MF
#10

Mark Fric

15.11.2018 11:36
no, Al, I moved it here because it is a task that can be done by making a new snippet in SQ, and SQ Programming is a project for that.


It doesn't mean that you have to wait for somebody selse, these tasks are for us. We'll start working on SQ Programmming tasks next Monday (26.11.) we'll probably make yours among the first.

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#11

drayzen

06.02.2019 04:55

Been looking more in to scalping strategies lately, so I'll update my request here to include a third time period, weekly.

  • Net Profit per Week ±
  • Net Profit per Month ±
  • Net Profit per Year ±

Tamas,

Now we seem to be getting close to the main program being stable, do you think you now have time to add this in?

I'm certain once it's in there and users realise what it does many will be using it...  ;)


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