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Is Max Loss Streak representing an average? #437482
02/18/14 11:40
02/18/14 11:40
Joined: Jul 2013
Posts: 522
D
dusktrader Offline OP
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dusktrader  Offline OP
User
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Joined: Jul 2013
Posts: 522
Is it possible the Max Loss Streak values are an average, or somehow affected by ALLCYCLES?

The reason I ask is because I have noticed consistently that I cannot easily identify the true maximum # without a lot of trial-and-error. I am sure that oversampling is contributing to the figure being higher than reported, but is it possible to report the "all time high"?

For example, the Performance Report says:
Quote:
Max loss streak 12 (uncorrelated 12)


but the actual upper limit seems to be 16. If I set my script to count consecutive losses, it tells me I cannot make it through a Test (oversampling 15) without allowing 16. Ideally I would like the Perf Report to show the max all-time-high on this figure, if possible.

In live trading, I count the consecutive losses because I want my script to notify me immediately if the value is breached. That would definitely be a red flag. But, I need to allow a reasonable flexibility (thus the oversampling).

Thanks

EDIT: one other thing I should mention: I do use allow multiple trades in some cases. So could it be possible that the figure reported is not accounting for this? For example, if the asset shows Max Open Trades of 2 and Max Loss Streak of 12(12), I would prefer the Loss Streak figure to be the maximum/highest for the asset and across all cycles.

Last edited by dusktrader; 02/18/14 14:28.
Re: Is Max Loss Streak representing an average? [Re: dusktrader] #437501
02/18/14 15:55
02/18/14 15:55
Joined: Jul 2000
Posts: 27,986
Frankfurt
jcl Offline

Chief Engineer
jcl  Offline

Chief Engineer

Joined: Jul 2000
Posts: 27,986
Frankfurt
Yes, the performance parameters are averaged over all cycles. The parameters not listed under "portfolio", such as Max Loss Streak, are from all assets and all trades.


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