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Underflow in Max loss streak #451985
05/29/15 05:22
05/29/15 05:22
Joined: Sep 2013
Posts: 504
California
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GPEngine Offline OP
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GPEngine  Offline OP
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This can happen
Code:
Max loss streak     71 (uncorrelated -2147483648)


Re: Underflow in Max loss streak [Re: GPEngine] #451988
05/29/15 08:48
05/29/15 08:48
Joined: Jul 2000
Posts: 27,977
Frankfurt
jcl Offline

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jcl  Offline

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Joined: Jul 2000
Posts: 27,977
Frankfurt
Thanks! For checking the underflow, what was the total number of trades and the number of lost trades?

Re: Underflow in Max loss streak [Re: jcl] #451992
05/29/15 14:33
05/29/15 14:33
Joined: Sep 2013
Posts: 504
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GPEngine Offline OP
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GPEngine  Offline OP
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Code:
Number of trades    71 (141/year, 3/week, 1/day)
Percent winning     0%


It's an edge case.

Re: Underflow in Max loss streak [Re: GPEngine] #451993
05/29/15 14:38
05/29/15 14:38
Joined: Sep 2013
Posts: 504
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GPEngine Offline OP
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GPEngine  Offline OP
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Here's another. I believe I've expressed doubts about the "Max open trades" statistic before. Here's one thing that doesn't make sense about it. This can happen:
Code:
Number of trades    132 (261/year, 6/week, 2/day)
Percent winning     8%
Max win/loss        0.05$ / -0.28$
Avg trade profit    -0.06$ -0.6p (+0.3p / -0.7p)
Avg trade slippage  0.01$ 0.1p (+2.4p / -0.1p)
Avg trade bars      1 (+2 / -1)
Max trade bars      2 (120 minutes)
Time in market      8%
Max open trades     0
Max loss streak     26 (uncorrelated 70)


so can this.
Code:
Number of trades    71 (141/year, 3/week, 1/day)
Percent winning     1%
Max win/loss        0.02$ / -0.14$
Avg trade profit    -0.06$ -0.7p (+0.3p / -0.7p)
Avg trade slippage  -0.00$ -0.0p (+8.2p / -0.2p)
Avg trade bars      2 (+2 / -2)
Max trade bars      2 (120 minutes)
Time in market      5%
Max open trades     0
Max loss streak     45 (uncorrelated 349)


Observed: If Avg trade bars = 1 or 2, Max open trades can be 0 even if Number of trades > 0.

Last edited by GPEngine; 05/29/15 14:44.
Re: Underflow in Max loss streak [Re: GPEngine] #451994
05/29/15 14:49
05/29/15 14:49
Joined: Sep 2013
Posts: 504
California
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GPEngine Offline OP
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In separate cases, there can be floating point errors in Performance Report.
Code:
Annual return       -1%
Profit factor       0.00 (PRR 0.00)
Sharpe ratio        -1.#J
Kelly criterion     -1.#J
R2 coefficient      -1.#IO
Ulcer index         1.$%
Prediction error    1%

Confidence level     AR   DDMax  Capital

 10%                 -1%    -1$  -1$
 20%                 -1%    -1$  -1$
 30%                 -1%    -1$  -1$
 40%                 -1%    -1$  -1$
 50%                 -1%    -1$  -1$
 60%                 -1%    -1$  -1$
 70%                 -1%    -1$  -1$
 80%                 -1%    -1$  -1$
 90%                 -1%    -1$  -1$
 95%                 -1%    -1$  -1$
100%                 -1%    -1$  -1$

Portfolio analysis  OptF  ProF  Win/Loss  Wgt%

AUD/JPY avg         .000  0.00    7/27    -1.$

... Draw your attention to the Sharpe ratio, Kelly criterion, R2 coefficient, Ulcer index, and Wgt% fields.

Re: Underflow in Max loss streak [Re: GPEngine] #452001
05/30/15 03:05
05/30/15 03:05
Joined: Sep 2013
Posts: 504
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GPEngine Offline OP
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Posts: 504
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Do you guys fuzz test wink


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