</> Codebase - Columns
StrategyQuant X platform codebase – a place to share coded customizations and extensions – among all users.
Columns > Databank / Filter
Annual % Return / Max. Drawdown % of Initial Capital
When evaluating strategies, it useful to consider the maximum drawdown as a percentage, not only respect to the previous high, but to the initial capital, as theoretically, the maximum drawdown
Columns > Databank / Filter
Average of all Additional Markets
Average of all Additional Markets : Drawdown, AnnualPctReturnDDRatio, NetProfit, NumberOfTrades, ProfitFactor, ReturnDDRatio, RExpectancy, SortinoRatio, UlcerIndex, WinningPct, SharpeRatio
NetProfit
NumberOfTrades
ProfitFactor
ReturnDDRatio
RExpectancy
SortinoRatio
UlcerIndex
WinningPct
Drawdown
AnnualPctReturnDDRatio
Additional Market
SharpeRatio
Columns > Databank / Filter
Average of all Additional Markets with the main results
Average of all Additional Markets with the main results : Drawdown, AnnualPctReturnDDRatio, NetProfit, NumberOfTrades, ProfitFactor, ReturnDDRatio, RExpectancy, SortinoRatio, UlcerIndex, WinningPct, SharpeRatio
AnnualPctReturnDDRatio
SharpeRatio
NetProfit
NumberOfTrades
ProfitFactor
ReturnDDRatio
RExpectancy
SortinoRatio
UlcerIndex
WinningPct
Drawdown
additional markets
Columns > Databank / Filter
Cochran’s Formula : the number of samples
it is important to define the number of samples (trade) necessary for a correct reliability of the performances and related metrics.
Cochran's Formula
statistics number
minimum number of samples (trade)
Columns > Databank / Filter
Robusteness Index – Tradestation
Robustness Idx Avg The Robustness Index is displayed in the Strategy Optimization Report and measures the gradient of the equity curve on the out-of-sample data relative to the gradient of the equity curve on the in-sample data. For example, a Robustness Index of > 100% means the strategy performed better on out-of-sample data than on in-sample data. A Robustness Index of 50% means that the gradient of the out-of-sample equity curve was 50% of the gradient of the in-sample equity curve; given equal time periods, the out-of-sample performance (on unseen data) was only half as good as during the in-sample (seen data). A Robustness Idx Avg of less than 50 suggests that the strategy being optimized is having difficulty to perform profitable on unseen data thus caution should be exercised before implementing the strategy in real-time The formula for Robustness Index is: Gradient of out-of-sample equity curve / Gradient of in-sample equity curve x 100%. http://help.tradestation.com/09_01/tradestationhelp/optimize/robustness_idx_avg.htm
Robusteness Index - Tradestation
Columns > Databank / Filter
Rina Index Perfomance
The RINA Index rewards strategies that spend less time in the market, decreasing the inherent market risk.
RINA Index
Rina Index Perfomance
Columns > Databank / Filter
Walk Forward Optimisation Metrics
Snippets designed for better evaluation of WFO process. Idea behind this you can find in this series: Algorithmic Backtesting & Optimization for Alphas I will add blog post
wfo
optimisation
Columns
Entry Order Types
Databank snippets described here: https://strategyquant.com/blog/how-to-categorize-your-strategies-by-entry-type-quickly-and-efficiently/ How to import custom indicators to SQX: https://strategyquant.com/doc/programming-for-sq/import-export-custom-indicators-and-other-snippets/
orders
type
order types
market
stop
limit
Entry Order Types
Columns
Databank Ratios 01032022
AnnualPercReturnAvgDDPerRatio AvgWinPerc AvgWinPercAvgDDPerRatio NetProfitAvgDDRatio PercARAvgDDRatio
AvgWinPerc
ratio
databank
columns
AnnualPercReturnAvgDDPerRatio
Columns > Databank / Filter
Sortino Ratio
The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset's standard deviation of negative portfolio returns—downside deviation—instead of the total standard deviation of portfolio returns. The Sortino ratio takes an asset or portfolio's return and subtracts the risk-free rate, and then divides that amount by the asset's downside deviation. The ratio was named after Frank A. Sortino. Source: https://www.investopedia.com/ CREDIT: Acerbi
sortino ratio
risk
ratio