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Open Feature request MC-1803

Performance reports should use mark to market P&L not realised

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Description

Currently in portfolio performance reports the P&L shown for the out of sample periods does not include profit from open trades but does include profit from trades opened in the in-sample period. This is misleading when trying to identify how much profit could be earned in the OOS period.
Performance reports should at least include, if not replace current realised P&L, a field showing mark to market P&L (ie realised plus change in unrealised P&L) in the period.

Steps to reproduce this issue

Look at performance reports and calculate P&L from charts and compare to what is reported in each period.

Comments (4)
#0
user-offline.png  Guest (Guest)
Nov 27, 2014 - 10:09

The purpose of WFA is to model a process - the process of periodic reoptimization being used to reconfigure system parameters going forward.  The most useful form of WFA results to be reported is the form that mimics what would have happened had a real trader been following the process of periodic reoptimization and reconfiiguration of system parameters in realtime over the course of the test period. 
This is the most useful because it's what will actually be done in the future if the trader accepts to do it.  The reason for a trader accepting to do it is because a properly calculated WFA test results shows that it would have worked sufficiently well in the past to create the confidence necessary to risk money in the future on the assumption that past performance will exhibit some degree of ongoing persistence.

#0
user-offline.png  paulc (paulc)
Nov 27, 2014 - 18:23

I completely agree. So tell me, how can a trader set the optimised parameters to trades opened in the past?
You are including P&L in the OOS period which is earned in the OOS period but the trades were opened in the in-sample period.
You also exclude P&L in the period on trades open at the end of the OOS period.
It just doesnt make sense. 
Do you want me to tell my broker that unreliased losses on my open trades can be ignored!

#0
user-offline.png  Guest (Guest)
Nov 28, 2014 - 10:39

paulc  - tp be clear, my comment is agreeing with you, and explaining why I agree with you.

#0
user-offline.png  paulc (paulc)
Nov 28, 2014 - 12:58

To Guest User - sorry i didnt see you were a guest and read the comment thinking MC had written hence my confusion as to why they calculate the reports as they do.

History
Issue basics
  • Type of issue
    Feature request
  • Category
    Performance
  • Targeted for
    Not determined
  • Status
    Not Reviewed
User pain
  • Type of bug
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  • Likelihood
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  • Severity
    Normal
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