Gamestudio Links
Zorro Links
Newest Posts
Data from CSV not parsed correctly
by EternallyCurious. 04/18/24 10:45
StartWeek not working as it should
by Zheka. 04/18/24 10:11
folder management functions
by VoroneTZ. 04/17/24 06:52
lookback setting performance issue
by 7th_zorro. 04/16/24 03:08
zorro 64bit command line support
by 7th_zorro. 04/15/24 09:36
Zorro FIX plugin - Experimental
by flink. 04/14/24 07:48
Zorro FIX plugin - Experimental
by flink. 04/14/24 07:46
AUM Magazine
Latest Screens
The Bible Game
A psychological thriller game
SHADOW (2014)
DEAD TASTE
Who's Online Now
1 registered members (howardR), 650 guests, and 2 spiders.
Key: Admin, Global Mod, Mod
Newest Members
EternallyCurious, 11honza11, ccorrea, sakolin, rajesh7827
19046 Registered Users
Previous Thread
Next Thread
Print Thread
Rate Thread
Performance report: Wgt% sum not 100, why? #470146
12/28/17 19:57
12/28/17 19:57
Joined: Nov 2016
Posts: 66
GreenBoat Offline OP
Junior Member
GreenBoat  Offline OP
Junior Member

Joined: Nov 2016
Posts: 66
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?

Re: Performance report: Wgt% sum not 100, why? [Re: GreenBoat] #470148
12/29/17 08:41
12/29/17 08:41
Joined: Jul 2000
Posts: 27,978
Frankfurt
jcl Offline

Chief Engineer
jcl  Offline

Chief Engineer

Joined: Jul 2000
Posts: 27,978
Frankfurt
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.

Re: Performance report: Wgt% sum not 100, why? [Re: jcl] #470151
12/29/17 08:57
12/29/17 08:57
Joined: Nov 2016
Posts: 66
GreenBoat Offline OP
Junior Member
GreenBoat  Offline OP
Junior Member

Joined: Nov 2016
Posts: 66
Well, the problem is, that the sum is usually not 100 even with my strategies. It's rarely 100, but sometimes it happens.

Re: Performance report: Wgt% sum not 100, why? [Re: GreenBoat] #470256
01/05/18 11:57
01/05/18 11:57
Joined: Jul 2000
Posts: 27,978
Frankfurt
jcl Offline

Chief Engineer
jcl  Offline

Chief Engineer

Joined: Jul 2000
Posts: 27,978
Frankfurt
Does this happen when weigths are negative? Otherwise, do you have an example?

Re: Performance report: Wgt% sum not 100, why? [Re: jcl] #470262
01/05/18 16:14
01/05/18 16:14
Joined: Nov 2016
Posts: 66
GreenBoat Offline OP
Junior Member
GreenBoat  Offline OP
Junior Member

Joined: Nov 2016
Posts: 66
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

Re: Performance report: Wgt% sum not 100, why? [Re: GreenBoat] #470275
01/06/18 10:32
01/06/18 10:32
Joined: Jul 2000
Posts: 27,978
Frankfurt
jcl Offline

Chief Engineer
jcl  Offline

Chief Engineer

Joined: Jul 2000
Posts: 27,978
Frankfurt
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).


Moderated by  Petra 

Gamestudio download | chip programmers | Zorro platform | shop | Data Protection Policy

oP group Germany GmbH | Birkenstr. 25-27 | 63549 Ronneburg / Germany | info (at) opgroup.de

Powered by UBB.threads™ PHP Forum Software 7.7.1