</> Codebase - Columns

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

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/  

AnnualPercReturnAvgDDPerRatio AvgWinPerc AvgWinPercAvgDDPerRatio NetProfitAvgDDRatio PercARAvgDDRatio

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

We have a snippet called "Biggest MAE". It is very useful to see how a strategy with a single order behave. However, when you open multiple orders at once, you have to calculate the total MAE of all the open positions

Trade column that will allow us to analyze the Edge Ratio of each trade.

Hours/Number of trades

This snippet shows you the value of ATR(14) at the time the position was opened.

Snippets used in blog post: Multimarket analysis in SQX

Net Profit / Avg DD Ratio