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Robustness Test and Ranking Options Custom Conditions error

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matka

Customer, bbp_participant, community, 189 replies.

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7 years ago #112350

Hi Mark,

 

In Genetic Evolution (initial strategies from Databank), when I set Custom Conditions in Ranking Options to dismiss strategies where Sharpe Ratio (RT) is lower or equal to 0.07 I am getting a lot of strategies in Databank with Sharpe Ratio (RT) = 0.

 

Robustness Test Results for these strategies shows “N/A”.

 

I think we have two errors here:

 

1. For some strategies Robustness Tests are not done for unknown reason.

 

2. Strategies are qualified for Databank despite Custom Conditions rule (0<=0.07)

 

SQ version 3.6.3.

 

Would you be able to investigate? Thank you.

 

Regards

 

m

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Mark Fric

Administrator, sq-ultimate, 3 replies.

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7 years ago #125361

Hello,

 

I checked it and it seems to be working correctly.

 

When you set custom conditions in Genetic settings they are applied only to the initial candidates.

As the strategies evolve their results will change.

 

If you want to filter out strategies with bad Sharpe Ratio (RT) also in Databank then you should set the same custom condition also in Ranking options tab.

Mark
StrategyQuant architect

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