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StrategyQuant X platform codebase – a place to share coded customizations and extensions – among all users.
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Samuel’s (Timothy Masters) Internal Profit Factor
This powerful profit factor punishes strategies for intratrade drawdown. You can read more about it here. It’s based on this implementation from clonex which had two shortcomings I tried to
profit factor
internal profit factor
Columns
Avg. Stagnation
I modified the original Stagnation code to use an average stagnation (daily basis) as the metric, for 2 reasons: 1. To know on average how many days before a new
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K-Ratio
The K-ratio is a statistical metric that measures the growth of return and the consistency of that growth over a specified period. It takes into account both the returns themselves and the order of those returns.
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Normalized Profit Factor
Here my first share. Seen it and coded from the article here : mastering-the-art-of-trading-metrics-an-interview-with-bozhidar-bozhkov-on-normalised-profit-factor Summary : 1. It works even when profits or losses are zero. 2. It gives a
Normalized Profit Factor
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Number of trades from WF Matrix
This Java snippet adds a new databank column functionality and allows you to calculate the number of trades of all combinations of a WF Matrix.
databank
columns
WF matrix
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Return / Max Drawdown (Max Intraday Drawdown or Trade Drawdown)
This new code chooses the greater Drawdown (Max Intraday Drawdown or Trade Drawdown).
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Symmetrical Profit Factor and Score
A four decimal profit factor that can be summed or averaged properly with a zero baseline.
profit factor
Columns
Strategy Metrics Out Of Sample / In The sample Ratios
Strategy Metrics Out Of Sample / In The sample Ratios
oosisratio
oos
is
out of smaple
in the sample
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Timothy Masters Internal Profit Factor
Timothy Masters Internal Profit Factor
Timothy Masters Internal Profit Factor
Columns > Databank / Filter
Additional Markets Strategy Metrics Average Values
83 Additional Markets Strategy Metrics Average Values snippets
strategy metrics