Alpha-and-Beta-in-B86

Using B86.
There are strange things a-happening with Alpha and Beta. I first noticed them a few builds ago. Let me share my observations.

But first, to get everyone up to speed, here's the formula for calculating Alpha showing how it's interlinked with Beta:
Alpha of portfolio = Actual rate of return of portfolio – (Risk-free rate of return + Beta * (Market return – Risk-free rate of return)
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Test Strategy:
We'll use a very simple Buy@Market test code and use symbol QQQ for testing and SPY as benchmark// Daily scale:

CODE:
using WealthLab.Backtest;
using System;
using WealthLab.Core;
using WealthLab.Indicators;
using System.Collections.Generic;

namespace WealthScript13 
{
    public class MyStrategy : UserStrategyBase
    {
        //create indicators and other objects here, this is executed prior to the main trading loop
        public override void Initialize(BarHistory bars)
        {
        }

        //execute the strategy rules here, this is executed once for each bar in the backtest history
        public override void Execute(BarHistory bars, int idx)
        {
            if (!HasOpenPosition(bars, PositionType.Long))
            {
                PlaceTrade(bars, TransactionType.Buy, OrderType.Market);
            }
        }

        //declare private variables below

    }
}

Settings: We'll use 5 years as test period:



OBSERVATIONS
1. Aberrant (and incorrect) value of Alpha in Short Only column for a Long only strategy:

There's a value for Alpha in the Short Only column even though there are no Short trades. This value varies with the test period.
If you flip this from a Buy at Market to a Short at Market strategy the identical value will appear in that row under Long Only column.
That row, like adjacent rows in that column, should be blank (-).

My guess is its the Risk-free Rate of Return that's getting displayed here (as a -ve value); if one looks at the equation for Alpha above everything else gets annulled except this.
Note: In Preferences the Interest on Cash/ 'Use UST Yield' box is *not* checked (arrow). Also see #4, below.


2. Checking the box for 'Use UST Yield' causes strange numbers to appear in Shorts Only column, even though its a Long-only strategy, but makes no difference to the Strategy's results.


These values vary with the yield metric chosen and period used.
Oh, and check what I got for a 5-yr backtest using FiveYear yield index:

(Note: I haven't been able to duplicate it since but luckily I took that screenshot.)


3. Beta is being calculated even for short time periods
I always thought WL uses 5 years (60 months), as is typical, for calculating Beta. If one changes the test period under Settings in our test strategy to less than 5 one still gets a value for Beta. Here's a screenshot using only 1yr:


I don't believe Beta can be reliably calculated for such a short time frame so for periods less than the default Beta should return null/blank (-) for the report (not even 0). By extension, Alpha should similarly return null/blank or N/A as it requires a properly calculated beta for its own calculation, the two cannot be disjoined.


4. It appears that Alpha calculation is using some hard-coded Risk-free Rate of Return (probably the average US 3-mo T Bill yield over the test period) even if the 'Use UST Yield' box is unchecked. When it's checked, changing any of the Yield choices makes NO difference to the strategy's results, it only causes the values in Short Only column - which shouldn't even be there in the first place - to change. This is "unexpected" behavior.
Side note: The Sharpe Ratio doesn't change in value either so presumably it is also using the pre-defined, non-modifiable Risk-free RoR.
Please make the 'Use UST Yield' box functional so users can choose whichever yield metric they want - including the option to not choose any.
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Fortunately, all these issues are fairly easy to fix. Hope they get fixed soon.