When running individual stocks through a strategy, some of the Basic ScoreCard metrics occasionally get corrupted. I don't think it's a problem with the calculation method itself because it does return reasonable results most of the time. There's some other random problem.
Below are the BCDF positions taken by this example run that you can import into Excel. Notice the screenshot of the Sharpe Ratio says -48 for these trades. That can't possibly be right. (My own calculation gets -1.76.)
There are situations where bar indexes get time shifted between the equity curve and the Positions collection. That's to be expected, but sometimes this shifting occurs at random as discussed in https://www.wealth-lab.com/Discussion/Backtester-EquityCurve-time-shifted-from-trading-positions-11843
I can't say if this effect is related to the Basic ScoreCard corruption, but it "might" be. In any case, there's a problem somewhere.
In addition, I've tried calculating the Sharpe Ratio myself in BacktestComplete, and my numbers don't agree with the Basic ScoreCard numbers. Something is wrong. https://www.wealth-lab.com/Discussion/Calculating-the-Sharpe-Ratio-for-an-individual-stock-11955
Below are the BCDF positions taken by this example run that you can import into Excel. Notice the screenshot of the Sharpe Ratio says -48 for these trades. That can't possibly be right. (My own calculation gets -1.76.)
CODE:
Position Symbol Quantity "Entry Date" "Entry Price" "Exit Date" "Exit Price" Profit "Profit %" "Bars Held" "Entry Signal" "Exit Signal" "MFEPct" "MAEPct" Long BCDF 1600 3/7/2024 25.32 3/8/2024 24.97 -560.0000000000023 -1.3823064770932125 1 Voss predictor buy Voss predictor sell 0 -1.7772511848341204 Long BCDF 1600 7/12/2024 25.24 8/12/2024 25.78 864.0000000000043 2.1394611727416906 18 Voss predictor buy Voss predictor sell 2.8129952456418414 -3.724247226624397 Long BCDF 1400 9/27/2024 27.882 10/30/2024 28.8 1285.199999999999 3.2924467398321466 19 Voss predictor buy Voss predictor sell 3.9380245319560965 -0.3299619826411387 Long BCDF 1300 11/22/2024 29.689263497424726 11/27/2024 29.92 299.95745334785863 0.7771715273276826 3 Voss Money Flow buy Voss predictor sell 1.5518623512342689 -0.46805976657783926
There are situations where bar indexes get time shifted between the equity curve and the Positions collection. That's to be expected, but sometimes this shifting occurs at random as discussed in https://www.wealth-lab.com/Discussion/Backtester-EquityCurve-time-shifted-from-trading-positions-11843
I can't say if this effect is related to the Basic ScoreCard corruption, but it "might" be. In any case, there's a problem somewhere.
In addition, I've tried calculating the Sharpe Ratio myself in BacktestComplete, and my numbers don't agree with the Basic ScoreCard numbers. Something is wrong. https://www.wealth-lab.com/Discussion/Calculating-the-Sharpe-Ratio-for-an-individual-stock-11955
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