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TS index

3 replies

2 years ago #274083

Hi !
Where can i found more information about the TS index ?

i’ve don’t found anything about it in the SQ documentation…

2 years ago #274085

Ok, i’ve found more information about it… but, i have another problem with it.

Why when i choose TS index on in sample data, this one change when i add an OOS data ?

for example :

IS 2004-2015 : TS index(IS) = 3000

IS 2004-2015 + OOS 2015-2016 : TS index(IS) = 1700

it seems to be the only IS parameter of all that change. Looks like it compute on the full history data (IS+OOS)

2 years ago #274334

TS Index uses Max Intraday Drawdown in its calculation, and I believe there is a bug where Max Intraday Drawdown (erroneously) uses data from OOS when it’s being calculated.

The original TS formula is Net Profit * NumWinTrades / AbsValue (Max. Intraday Drawdown).

1 year ago #278227

https://strategyquant.com/codebase/robusteness-index-tradestation/

Viewing 3 replies - 1 through 3 (of 3 total)

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