SmartQuant Discussion

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


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.


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


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


reporting_5.jpg [ 254.39 KiB | Viewed 4659 times ]
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reporting_3.jpg [ 211.51 KiB | Viewed 4659 times ]
reporting_2.jpg [ 186.29 KiB | Viewed 4659 times ]
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

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