kernc/backtesting.py

SQN calculation not using expectancy?

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#558 opened on Dec 23, 2021

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help wanted

Description

Hi,

It's good to see the stats include SQN. According to https://evilspeculator.com/tools-section/concepts/:

SQN = root(n) * expectancy / stdev(R)

but I suspect it's not correctly calculated:

https://github.com/kernc/backtesting.py/blob/77f4c46b82169c2689e1c4ad5994765556179eb2/backtesting/_stats.py#L139

as it's not using the result of expectancy:

https://github.com/kernc/backtesting.py/blob/77f4c46b82169c2689e1c4ad5994765556179eb2/backtesting/_stats.py#L138

Unless I am missing something?

Thanks!

Contributor guide

Tech stack
python
Domain
data
Issue type
bug
DifficultyEstimated implementation difficulty for a new contributor, from 1 for very small changes to 5 for expert-level work.
2
Estimated timeA rough time range for an experienced contributor to investigate, implement, test, and prepare a pull request.
under 1 hour
Activity statusHow available the issue appears right now: fresh, active, stale, blocked, or waiting on maintainer input.
stale
ClarityHow clearly the issue explains the expected change, acceptance criteria, and next step.
clear
Prerequisites
Pythonfamiliarity with SQN formula
Newbie friendlinessA 1-100 score estimating how approachable this issue is for first-time contributors.
85
Research direction
Examine the SQN calculation in backtesting/ stats.py lines 138-139. Compare with the formula from evilspeculator.com: SQN = sqrt(n) * expectancy / stdev(R). Verify that the current code uses the 'expectancy' variable correctly. If not, modify the calculation to include it. Then run existing tests to ensure nothing breaks.