Inconsistency in WFM stability

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Subscriber, bbp_participant, 1 replies.

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1 month ago #274695

I’m trying get to know how exactly works WFM stability.

On this simple example with 3 runs we can see different approach with calculating WFM stability with different metrics. NetProfit, DD, and R/DD.

Net profit seems like to be calculated as
Sum(NetProfits(OOS))/Sum(Days(IS)) / Sum(NetProfits(OOS)/Sum(Days(IS))
In Excel and as well in SQ results on left side screenshot are equally 128.47%. That’s seems like avg. daily NetProfit in IS / avg. daily NetProfit in OOS, which makes sense. Cool.

For Drawdown is used same logic as on NetProfit. In XLS and SQ is same value: 249.56%. But I’m not sure if now make sense doing something like a avg. daily DD in OOS/IS as DD is not so linearly increasing as NP.

What is weird is system of counting stability of R/DD. Before was avg. daily DD in IS/OOS, but it seems now we don’t use something like a normalization per 1day as before (result should be 396.35% – red field in XLS), but only formula
Sum(RDD(OOS)) / Sum(RDD(IS)) which we see 63.1% in SQ. Practically using is complicated as it is strongly depending on how big is %OOS. So bigger %OOS should have automatically better RDD stability result.
More severe is Inconsistency with method of calculation. Stability on NP or DD is same, but RDD is different. Is somewhere defined/described which metrics is in WFM stability calculated which way?

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Administrator, sq-ultimate, 809 replies.

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2 weeks ago #275062


if you see an issue using StrategyQuant WFM please use our tool to report bugs and requests:

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