SQN calculation not using expectancy? · kernc/backtesting.py#558

(1 评论) (0 反应) (0 负责人)Python (4,387 star) (863 fork)batch import

help wanted

描述

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:

as it's not using the result of expectancy:

Unless I am missing something?

Thanks!

技术栈: python
领域: data
议题类型: bug
难度: 2
预计时间: under 1 hour
活动状态: stale
清晰度: clear
前置要求: Pythonfamiliarity with SQN formula
新手友好度: 85
研究方向: 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.