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Forums>StrategyQuant>Application Support>Fitness compute on sharpe

  • #266683 |
    Participant
    32 Posts

    Hi, i need your help to understand…

    when i choose to compute fitness on the sharpe ratio (full settings > strategy quality ranking > main data backtest > weighted fitness > Sharpe ratio) i have results like that.

     

    i think the highter fitness need to be the highter sharpe ratio no ? does that make you look normal ?

    thanks by advance !

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    #266699
    tomas262
    Administrator
    1823 Posts

    Hello,

    make sure Sharpe ratio column shows the same data sample as the fitness column (IS, OSS, Full). The fitness values is calculated for all these separately

    #266712
    Customer
    790 Posts

    isnt the problem that the fithness function is computed separatedly for each island or each genetic restart?

    You want to be a profitable algotrader? We started using StrateQuant software in early 2016. For now we have a very big knowhow for building EAs for every possible types of markets. We share this knowhow, apps, tools and also all final strategies with real traders. If you want to join us, fill in the FORM. 1500+ final SQX strategies for members running on demo accounts to verify the edge DEMO ACCS. We provide also strategies for indices - DAX, DOW JONES, NASDAQ, SP, UK, because we have realtick data from our brokers.

    #266714
    Participant
    32 Posts

    very good question henkeys !

    for this test, no OOS. sharpe is compute on full data so it’s like full IS. globally, best sharpe ratio is associated with best fitness rank but regularly I see a poorer sharpe ratio higher in the ranking.

    #266718
    Customer
    790 Posts

    i am not using any fitness criteria, but i am only curious how its working – and if fitness is used as ranking in building stage and the builder is somehow restarted and starts from the scratch, so the same must be done with the fitness function

    am i right or not? only devteam knows…

    You want to be a profitable algotrader? We started using StrateQuant software in early 2016. For now we have a very big knowhow for building EAs for every possible types of markets. We share this knowhow, apps, tools and also all final strategies with real traders. If you want to join us, fill in the FORM. 1500+ final SQX strategies for members running on demo accounts to verify the edge DEMO ACCS. We provide also strategies for indices - DAX, DOW JONES, NASDAQ, SP, UK, because we have realtick data from our brokers.

    #266719
    Participant
    32 Posts

    fitness is what is used by the genetic agorithm for “orientation”. Even if it is not used to classify, it is mandatory to master it well to correctly manage the genetic algorithm. the fitness is always use finally

    #266738
    Participant
    6 Posts

    I did made this exactly question, and i was answered by Mark in person, the fitness function is weighted by number of  trades, exactly if the strategy is having more than 100 trades or less than 100 trades.
    So sometimes, if you are using the Sharpe ratio, for example, one strategy can have higher Sharpe, but lower fitness, because of the number of trades, compared to another strategy that have lower Sharpe but higher number of trade and so higher fitness, hope this will answer your question.
    I did also ask  to remove this, or to put it like choosable option, and of course i was not listened, i received only the answer that they can make a custom version only for me (by paying of course…)

    #266739
    Customer
    790 Posts

    this is from java of the sharpe ratio – you can take a look at the computations in the snippets folder

    double returnsMean = StatFunctions.computeAverage(dailyReturnsPct);
    double returnsStddev = StatFunctions.computeStdev(returnsMean, dailyReturnsPct);

    double sharpeRatio = Math.sqrt(252) * SQUtils.safeDivide(returnsMean, returnsStddev);

    You want to be a profitable algotrader? We started using StrateQuant software in early 2016. For now we have a very big knowhow for building EAs for every possible types of markets. We share this knowhow, apps, tools and also all final strategies with real traders. If you want to join us, fill in the FORM. 1500+ final SQX strategies for members running on demo accounts to verify the edge DEMO ACCS. We provide also strategies for indices - DAX, DOW JONES, NASDAQ, SP, UK, because we have realtick data from our brokers.

    #266741
    Participant
    6 Posts

    This is how the Sharpe ratio is computed, i was talking about how the Fitness function is computed, weighted by # of trades.

    #266742
    Participant
    6 Posts

    And of course you can’t see how the fitness is computed in the snippets, because is an internal code, please hankeys every time i see some your answer (lot of time out of topic), only to say something, only to answer, i suggest you to answer only when you are sure of saying something related, thanks.

    #267236
    Customer
    109 Posts

    Darkhope : this was a fantastic answer, and you solved my mystery. I am surprised to see that it is related to the count of how many trades.  That explains why my fitness doesn’t make sense.

    Thanks.

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