"Symmetry" stat is currently not the best way for identifying trades symmetry

Currently, this stat only seems to consider short PL vs long PL. Sometimes 99% symmetry is reported for strats that traded 200 long trades and 1000 short trades for instance just because longs and shorts had the same profit. Can we redefine this stat to be more useful?

I think number of long  trades vs number of short trades should carry a fairly heavy weight maybe as much as 50% of the weight and I think the other 50% of the weight should be from a fitness algorithm.


OR maybe two or three separate columns would be the most practical: P/L Symmetry (as it is now), Number of trades Symmetry and maybe eventually a Fitness Symmetry. Then it wouldn't mess with peoples existing filters.

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  • Votes +1
  • Project Extending SQ
  • Type Feature
  • Status New
  • Priority Normal

History

b
#1

bentra

20.10.2020 14:50

Task created

b
#2

bentra

20.10.2020 14:50
Rate the Longs_vs_Shorts_Total_trades_comparison_score from 0 to 1. (0 short trades and 1000 long trades would rate a 0.  1000 short trades and 1000 long trades would rate a perfect 1)
Rate the Longs_vs_Shorts_fitness_comparison_score from 0 to 1. 

Symmetry = 1 * Longs_vs_Shorts_Total_trades_comparison_score  * Longs_vs_Shorts_fitness_comparison_score 

That way a very low score in either one results in a very low Symmetry score. What do you think?

Or something more basic like 2 or 3 different separate symmetry stats: P/L Symmetry (as it is now), Number of trades Symmetry and maybe eventually a Fitness Symmetry. Then it wouldn't mess with peoples existing filters.
KL
#3

kainc301

20.10.2020 14:50
I think the second option you presented is more practical where you would have different symmetry stats. One for P/L, one for # of trades and so forth. It would give more options to compare the long and short side more easily.
KL
#4

kainc301

20.10.2020 14:50
Voted for this task.
b
#5

bentra

20.10.2020 14:50

Description changed:

Currently, this stat only seems to consider short PL vs long PL. Sometimes 99% symmetry is reported for strats that traded 200 long trades and 1000 short trades for instance just because longs and shorts had the same profit. Can we redefine this stat to be more useful?

I think number of long  trades vs number of short trades should carry a fairly heavy weight maybe as much as 50% of the weight and I think the other 50% of the weight should be from a fitness algorithm.


OR maybe two or three separate columns would be the most practical: P/L Symmetry (as it is now), Number of trades Symmetry and maybe eventually a Fitness Symmetry. Then it wouldn't mess with peoples existing filters.

Type changed from Bug to Feature

b
#6

bentra

20.10.2020 14:50
Voted for this task.
KD
#7

kejdi

20.10.2020 14:50

Attachment Columns-Databanks-SymmetryNT.sxp added

Attached snippet that shows the 'Number of Trades Symmetry' I created for myself - maybe you will also find it helpful. Enjoy.
KD
#8

kejdi

20.10.2020 14:50

Attachment Columns-Databanks-SymmetryNT.sxp added

Updated version - fixed dependency to increase reliability.
E
#9

Emmanuel

15.12.2021 19:43
Voted for this task.

Votes: +1

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