Performance report: Wgt% sum not 100, why?

Posted By: GreenBoat

Performance report: Wgt% sum not 100, why? - 12/28/17 19:57

In the performance report, there is a column called Wgt%.

It should be "Weight of the component; contribution to the overall profit of the strategy in percent. The weight can be negative, f.i. with a losing component and a positive overall result."
Source http://manual.zorro-trader.com/performance.htm

But the sum of all the Wgt% numbers is usually NOT 100, even in the manual example.

How should I interpret the Wgt% number?
Posted By: jcl

Re: Performance report: Wgt% sum not 100, why? - 12/29/17 08:41

I think your interpretation was correct. It should normally sum up to 100. The manual example was no real strategy, so the numbers there are sort of random.
Posted By: GreenBoat

Re: Performance report: Wgt% sum not 100, why? - 12/29/17 08:57

Well, the problem is, that the sum is usually not 100 even with my strategies. It's rarely 100, but sometimes it happens.
Posted By: jcl

Re: Performance report: Wgt% sum not 100, why? - 01/05/18 11:57

Does this happen when weigths are negative? Otherwise, do you have an example?
Posted By: GreenBoat

Re: Performance report: Wgt% sum not 100, why? - 01/05/18 16:14

Yes, there is always something negative, but shouldn't the sum be 100 anyway?

Sometimes it's 130, sometimes 50 and I don't know why.

In the first example below, the sum is 108.1. In the second one, it's 131.9

Portfolio analysis OptF ProF Win/Loss Wgt%

AAPL avg .001 1.02 22/14 -0.4
ACN avg .000 0.61 19/17 2.9
ADBE avg .000 0.90 19/17 0.8
ADSK avg .000 0.74 19/15 3.2
AIG avg .021 1.48 23/13 -2.0
ALL avg .048 1.48 22/14 -1.2
AMGN avg .000 0.69 19/17 2.7
AMZN avg .000 0.97 19/17 0.2
BA avg .000 0.77 18/18 1.9
BAX avg .000 0.77 19/17 1.5
BIIB avg .000 0.69 21/15 3.8
CA avg .000 0.70 17/19 1.8
CERN avg .006 1.04 20/16 -0.2
CHRW avg .038 1.55 16/20 -1.2
CL avg .011 1.03 40/32 -0.3
CMCSA avg .000 0.68 17/17 4.3
COF avg .000 0.57 23/13 4.5
CPB avg .000 0.49 18/16 4.3
CSCO avg .000 0.64 19/17 2.7
CVS avg .009 1.12 21/15 -0.5
DIS avg .005 1.10 19/17 -0.4
EBAY avg .002 1.13 20/16 -1.2
EQIX avg .000 0.78 15/17 1.6
EXPD avg .000 0.69 17/19 1.8
FB avg .000 0.70 19/17 3.4
FDX avg .042 1.62 23/13 -2.5
GD avg .003 1.07 19/17 -0.3
GE avg .000 0.73 20/16 1.5
GILD avg .000 0.77 18/18 1.8
GM avg .018 1.48 20/16 -2.2
GOOG avg .003 1.06 21/15 -0.4
HAL avg .000 0.89 20/16 1.0
HD avg .000 0.84 23/13 0.9
HPQ avg .000 0.47 17/17 12.6
IBM avg .000 0.86 20/16 0.7
INTC avg .000 0.59 22/14 3.9
INTU avg .000 0.74 16/18 1.6
JNJ avg .000 0.87 18/18 0.5
LMT avg .000 1.02 20/16 -0.1
LOW avg .000 0.88 21/13 0.8
MDT avg .000 0.72 17/17 1.8
MMM avg .000 0.66 17/19 2.3
MNST avg .000 0.82 19/17 3.7
MRK avg .012 1.29 21/15 -0.9
MSFT avg .000 1.00 21/15 0.0
MXIM avg .000 0.76 16/20 1.7
NFLX avg .000 1.04 21/15 -1.4
NSC avg .000 0.62 17/19 4.0
ORCL avg .000 0.87 19/17 0.7
PCAR avg .000 0.75 20/16 1.8
PM avg .017 1.25 19/17 -0.8
QCOM avg .018 1.50 21/15 -2.3
S avg .005 0.79 81/63 6.5
SLB avg .000 0.69 22/14 3.5
T avg .000 0.80 132/118 11.4
TGT avg .000 0.76 20/16 2.0
TWX avg .016 1.46 22/14 -1.7
TXN avg .000 0.86 21/15 0.9
UNH avg .000 0.89 17/19 0.7
UPS avg .008 1.13 22/14 -0.5
V avg .000 0.58 22/14 7.9
VRSK avg .000 0.44 16/20 2.9
VZ avg .000 0.74 20/16 1.8
WFC avg .004 1.08 22/14 -0.4
WMT avg .000 0.67 17/19 1.8
WYNN avg .000 0.61 22/14 6.9


Second example:

ACN avg .499 ++++ 4/0 17.8 ACN avg 0.499 ++++ Apr-00 17.8
ADBE avg .000 ---- 0/0 0.0 ADBE avg 0 ---- 0/0 0
ADSK avg .000 ---- 0/0 0.0 ADSK avg 0 ---- 0/0 0
AIG avg .004 2.70 1/1 6.4 AIG avg 0.004 2.7 1-Jan 6.4
ALL avg .000 1.27 2/2 10.9 ALL avg 0 1.27 2-Feb 10.9
AMGN avg .000 0.75 4/2 -13.7 AMGN avg 0 0.75 2-Apr -13.7
AMZN avg .017 20.39 7/1 46.8 AMZN avg 0.017 20.39 1-Jul 46.8
BA avg .007 3.87 1/1 8.3 BA avg 0.007 3.87 1-Jan 8.3
BAX avg .000 0.61 1/1 -8.1 BAX avg 0 0.61 1-Jan -8.1
BIIB avg .000 ---- 0/0 0.0 BIIB avg 0 ---- 0/0 0
CA avg .000 ---- 0/0 0.0 CA avg 0 ---- 0/0 0
CERN avg .000 ---- 0/0 0.0 CERN avg 0 ---- 0/0 0
CHRW avg .000 ---- 0/0 0.0 CHRW avg 0 ---- 0/0 0
CL avg .000 0.99 6/4 -1.0 CL avg 0 0.99 4-Jun -1
CMCSA avg .001 1.89 3/1 24.5 CMCSA avg 0.001 1.89 1-Mar 24.5
COF avg .000 0.70 2/2 -12.7 COF avg 0 0.7 2-Feb -12.7
CPB avg .000 ---- 0/0 0.0 CPB avg 0 ---- 0/0 0
CSCO avg .027 7.27 1/1 6.2 CSCO avg 0.027 7.27 1-Jan 6.2
CVS avg .000 1.20 1/1 3.2 CVS avg 0 1.2 1-Jan 3.2
DIS avg .000 1.57 1/1 8.4 DIS avg 0 1.57 1-Jan 8.4
EBAY avg .000 1.52 2/2 23.5 EBAY avg 0 1.52 2-Feb 23.5
EQIX avg .000 ---- 0/0 0.0 EQIX avg 0 ---- 0/0 0
EXPD avg .000 ---- 0/0 0.0 EXPD avg 0 ---- 0/0 0
FB avg .000 1.35 4/2 18.8 FB avg 0 1.35 2-Apr 18.8
FDX avg .001 1.34 2/2 3.0 FDX avg 0.001 1.34 2-Feb 3
GD avg .000 0.90 2/2 -4.1 GD avg 0 0.9 2-Feb -4.1
GE avg .000 ---- 0/0 0.0 GE avg 0 ---- 0/0 0
GILD avg .499 ++++ 2/0 13.3 GILD avg 0.499 ++++ Feb-00 13.3
GM avg .499 ++++ 2/0 10.7 GM avg 0.499 ++++ 1-Feb 10.7
HAL avg .000 0.38 3/3 -147.8 HAL avg 0 0.38 3-Mar -147.8
HD avg .000 0.85 2/2 -5.0 HD avg 0 0.85 2-Feb -5
IBM avg .006 3.15 4/2 11.7 IBM avg 0.006 3.15 2-Apr 11.7
INTC avg .000 1.17 3/3 9.4 INTC avg 0 1.17 3-Mar 9.4
INTU avg .000 ---- 0/0 0.0 INTU avg 0 ---- 0/0 0
JNJ avg .000 ---- 0/0 0.0 JNJ avg 0 ---- 0/0 0
LMT avg .000 1.46 2/2 18.3 LMT avg 0 1.46 2-Feb 18.3
LOW avg .000 1.45 3/3 14.6 LOW avg 0 1.45 3-Mar 14.6
MDT avg .000 0.20 1/1 -9.1 MDT avg 0 0.2 1-Jan -9.1
MMM avg .000 1.16 2/2 5.2 MMM avg 0 1.16 2-Feb 5.2
MRK avg .499 ++++ 2/0 11.3 MRK avg 0.499 ++++ 1-Feb 11.3
MSFT avg .000 ---- 0/0 0.0 MSFT avg 0 ---- 0/0 0
MXIM avg .000 ---- 0/0 0.0 MXIM avg 0 ---- 0/0 0
NSC avg .000 1.06 2/2 2.4 NSC avg 0 1.06 2-Feb 2.4
ORCL avg .000 0.88 5/3 -7.2 ORCL avg 0 0.88 3-May -7.2
PCAR avg .000 ---- 0/0 0.0 PCAR avg 0 ---- 0/0 0
PM avg .000 0.87 1/1 -3.7 PM avg 0 0.87 1-Jan -3.7
QCOM avg .000 1.38 3/3 14.6 QCOM avg 0 1.38 3-Mar 14.6
S avg .000 1.38 2/2 11.6 S avg 0 1.38 2-Feb 11.6
SLB avg .000 0.94 1/1 -1.1 SLB avg 0 0.94 1-Jan -1.1
T avg .005 1.47 9/7 33.7 T avg 0.005 1.47 7-Sep 33.7
TGT avg .002 1.94 5/3 18.1 TGT avg 0.002 1.94 3-May 18.1
TWX avg .000 1.17 1/1 3.4 TWX avg 0 1.17 1-Jan 3.4
TXN avg .000 0.92 3/3 -4.0 TXN avg 0 0.92 3-Mar -4
UNH avg .000 0.63 1/1 -6.7 UNH avg 0 0.63 1-Jan -6.7
UPS avg .000 ---- 0/0 0.0 UPS avg 0 ---- 0/0 0
VRSK avg .000 ---- 0/0 0.0 VRSK avg 0 ---- 0/0 0
VZ avg .000 ---- 0/0 0.0 VZ avg 0 ---- 0/0 0
WFC avg .000 ---- 0/0 0.0 WFC avg 0 ---- 0/0 0
WMT avg .000 ---- 0/0 0.0 WMT avg 0 ---- 0/0 0
WYNN avg .000 ---- 0/0 0.0 WYNN avg 0 ---- 0/0 0
Posted By: jcl

Re: Performance report: Wgt% sum not 100, why? - 01/06/18 10:32

Weights are rounded to 1 digit, so you won't get precisely 100 when you add them manually.

But you can easily calculate the weights in your script, sum them up, and check if the sum is 100. The weight of a long component is 100*(WinLong-LossLong)/(WinTotal-LossTotal).
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