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Metric Fitness and person coefficient

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binhsir

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2 weeks ago #271098

I’m currently trying out GSB (another strategy building software). There is a Person correlation coefficient indicator (a value of 0-1, which describes the correlation between strategy capital curve and the straight line). Is there a similar indicator in SQ? What indicator is it?
What is the calculation formula of fitness  in SQ? Why is fitness less than 1 even though computing from net profit  is configured in ranking? Has it been standardized?

Bin

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tomas262

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2 weeks ago #271102

Hello,

we have a similar metric called “Stability” which reflects linearity of the equity curve. Closer to 1 it is straighter the equity line. The value oscillates between -1 and +1

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binhsir

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2 weeks ago #271114

Thanks, I knew stability’s meaning.

But another question, the calculation fomula of  fitness? Is it  can be defined myself?

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tomas262

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2 weeks ago #271122

On the Ranking tab in Builder you choose the fitness criteria. You use predefined or build your own using the “Custom” mode

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binhsir

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3 days ago #271513

It may be a problem with my English expression. Yes, I know how to use custom fitness to rank the building strategies, and I also know that stablity = person Correlation coefficient. Restate my final question: When I select weighted fitness (ex:only check Net profit), but in the strategy result databank, I see that the fitness of all strategies is less than 1, and the net profit should be much greater than 1. Why?<span style=”color: #404048; font-family: ‘Open Sans’, -apple-system, blinkmacsystemfont, ‘Segoe UI’, roboto, helvetica, arial, sans-serif; font-size: 15px;”>Has it been standardized? </span>

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binhsir

Subscriber, bbp_participant, customer, community, sq-ultimate, 11 replies.

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3 days ago #271514

It may be a problem with my English expression. Yes, I know how to use custom fitness to rank the building strategies, and I also know that stablity = person Correlation coefficient. Restate my final question: When I select weighted fitness (ex:only check Net profit), but in the strategy result databank, I see that the fitness of all strategies is less than 1, and the net profit should be much greater than 1. Why?Has it been standardized?

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tomas262

Administrator, sq-ultimate, 679 replies.

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18 hours ago #271554

Hello,

you can send details to support@strategyquant.com we will check it

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