WF result not clear
4 replies
Morningbull
3 years ago #257933
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.
Morningbull
3 years ago #257960
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.
Mark Fric
3 years ago #257999
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
Gianfranco
3 years ago #258001
but in 126 or 127 version ?
Morningbull
3 years ago #258040
I didn’t try build 127, but I think the error is also there
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