SmartQuant Discussion
http://www.smartquant.com/forums/

Backtest statistics
http://www.smartquant.com/forums/viewtopic.php?f=43&t=10433
Page 1 of 1

Author:  Nagendra [ Wed Jan 02, 2013 6:13 pm ]
Post subject:  Backtest statistics

Hello,

What are the statistics that are put out of OQ?. I see only performance summary like Equity curve , PnL and DD. This are really not enough to take corrective action on the strategy. We need following statistics

#1 Trade statistics (Winning and loosing percentage , average winner, Average looser, All of them for both long and shorts)
#2 Time statistics (Average bar held for each trade. For long and short , and highest and lowest)
#3 Key Ratios (Sharpe ratio, K-Ratio, Ulcer index etc.,)
#4 Equity curve characteristics (%DD for trade, max system DD, CAR,CAR/DD ratio, Duration of DD, Recovery index)


Please let me know if OQ support these parameters. These are very important for anyone who develops strategy seriously.

Thx
Nagendra

Author:  Dr. Anton Fokin [ Wed Jan 02, 2013 6:36 pm ]
Post subject:  Re: Backtest statistics

Hi,

have you enabled Reporting in the solution/project settings as shown on the first attached screenshot?

Regards,
Anton

Attachments:
reporting_5.jpg
reporting_5.jpg [ 254.39 KiB | Viewed 4659 times ]
reporting_4.jpg
reporting_4.jpg [ 200.28 KiB | Viewed 4659 times ]
reporting_3.jpg
reporting_3.jpg [ 211.51 KiB | Viewed 4659 times ]
reporting_2.jpg
reporting_2.jpg [ 186.29 KiB | Viewed 4659 times ]
reporting_1.jpg
reporting_1.jpg [ 307.75 KiB | Viewed 4659 times ]

Author:  Nagendra [ Thu Jan 03, 2013 6:04 am ]
Post subject:  Re: Backtest statistics

Yes I will enable it now. Thanks a lot. putting it in getting started guide will help a lot

Page 1 of 1 All times are UTC + 3 hours
Powered by phpBB® Forum Software © phpBB Group
https://www.phpbb.com/