|
This rules analyzer metric script produces several metrics, one for each year in the analysis period. Its task is simple, it calculates the 'Output per bar' value, the same way QuantShare calculates it, but instead of producing one 'Output per bar' metric for all the trading period, it produces a metric for each year.
If your analysis spans from 2002 to 2009, then including this script will result in the creating of eight additional metrics (2002, 2003, 2004, 2005, 2006, 2007, 2008, and 2009).
I personally find this metric very important, this is because the rules analyzer results could be misleading if all the positive outputs are located in a small period (example: one or two years). This script let you point out this, and make corresponding changes to your rules before adding them as buy or sell rules in a trading system.
I had the idea to create this metric script some weeks ago while I am testing some rules I have created; these rules were performing very well while tested on US stocks. However, the trading system that uses these rules (as buy rules) performs badly. It turned out that the rules were performing well (with the rules analyzer) because all the great returns, as well as the majority of signals, happened during the 2004-2005 period, and it appears that if I remove these years from the analyzing period, the rules perform badly as the simulator told me.
Here is another metric script:
Average Output Per Year: Average Output Per Year
|
