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  • #257933 |
    Customer
    38 Posts

    Hello,

    I’m attaching result from Walk Forward Optimization, something is not clear for me: why for example the “Net profit IS / Number of days IS”  for each run is not the equal to the average profit per day IS?

    In the example the net profit for the first run is 300.06, the number of days are 2556, the average profit should be 300.06/2556=0.117 but instead is 0.44. Why?

    I noted also that on the conditions (left side of screenshot) the WF Avg. profit per day IS corresponds every time to the first run of optimization, in this case 0.44, maybe I didn’t understood how it is calculated.

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    #257960
    Customer
    38 Posts

    Please check also this other image attached: the “WF Net profit” is bigger than original “Net Profit” but the “WF Average profit per day” is smaller than the original “Average profit per day”.

    Or I don’t understant something or there is bug with calculation of Average profit per day, be advice that I’m using build 126, I didn’t try yet build 127.

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    #257999
    Mark Fric
    Administrator
    1182 Posts

    I confirm that there seems to be some problem with it, I created a task for it: https://roadmap.strategyquant.com/tasks/sq4_6292

     

    Mark
    StrategyQuant architect

    #258001
    Gianfranco
    Customer
    112 Posts

    but in 126  or  127 version ?

    #258040
    Customer
    38 Posts

    I didn’t try build 127, but I think the error is also there

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