kernc/backtesting.py

SQN calculation not using expectancy?

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#558 opened on Dec 23, 2021

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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!

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Research direction
Verify the SQN calculation formula: SQN = sqrt(n) * expectancy / stdev(R). Inspect the code at line 138-139 of backtesting/ stats.py; ensure that 'expectancy' is computed first and then used in the SQN formula. Trace the variables to see if the correct expectancy value is passed to the SQN calculation.
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