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StrategyQuant X platform codebase – a place to share coded customizations and extensions – among all users.
Charts > Trade analysis charts
Grouped Consecutive Loss Count Analysis
This snippet will help you to answer the question, how often did I get a particular losing sequence in my strategy.
Practical Trading
SQX Coding
Strategy Development
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.
minimum number of samples (trade)
Cochran's Formula
statistics number
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
AlgoWizard
Set Stop Loss Except One
Sets Stop Loss to a specified level except for one order : 'Magic Number Excluded'
AlgoWizard
multiple order
Order Modify
Order
Order
Closing N Market Order
This snippets close N order starting from the MagicNumber order
AlgoWizard
Order
Order Close
Order
Set Stop Loss if OpenPrice Order is Above or below a limit price Except One
Sets Stop Loss to a specified level if the openPrice order is above (for long position) or below (for short position) a price Limit except for one order : 'Magic Number Excluded'
AlgoWizard
Order
Modify Order
Order
Set Stop Loss if OpenPrice Order is Above or below a limit price
Sets Stop Loss to a specified level if the openPrice order is above (for long position) or below (for short position) a price Limit
AlgoWizard
Order
Modify Order