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Open Bug report MC-2521

Portfolio Trader Stats such as Summary and especially Ratios need to be re-done. They don't work for Portfolio and are unreliable.

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Description

Portfolio Trader Stats such as Summary and especially Ratios need to be re-done. They don't work for Portfolio and are unreliable.
Anyone that can make sense of the attached ratios is welcome.

Steps to reproduce this issue
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Comments (9)
#1
user-offline.png  andb (andb)
Oct 07, 2018 - 00:52
A file was uploaded. Capture.PNGicon_open_new.png
#2
user-offline.png  MultiCharts Support (MultiCharts)
Oct 16, 2018 - 02:31
andb, please elaborate. Why do you think that these metrics are not reliable and do not work?
#3
user-offline.png  Zheka (Zheka)
Oct 16, 2018 - 03:15

..Because all these ratios measure "risk-adjusted" returns...It is just impossible that some of them are positive, some are negative and some are zero (when all use the same risk-free rate of return).

PT Ratios/stats are a mess.
One can often see a strategy with PF>1 and negative Sharpe, even if you set benchmark/risk-free rate to 0.

#4
user-offline.png  andb (andb)
Oct 16, 2018 - 03:24

I mean is this documented anywhere ...

I believe guys you are the only ones to show a negative 3 sharpe ratio for a pnl such as the attached ... honestly.

Alex, what is it to elaborate ... for an intentionally curve fitted strategy that shows profit each and every year, one should have the ratio values properly computed ... as simple as that.

#5
user-offline.png  andb (andb)
Oct 16, 2018 - 03:25
A file was uploaded. Capture.JPGicon_open_new.png
#6
user-offline.png  Zheka (Zheka)
Oct 16, 2018 - 03:44

Exactly!

I would also suggest to:
1) label the calculations properly, i.e. "Sharpe Ratio (monthly)", Sortino Ratio(monthly), "Annualized Sharpe Ratio (monthly)"

2) Add at least Weekly "granularity"/returns sampling to the ratios, possibly also Daily.

Yes, standard industry "reporting" practice is to use monthly returns in the calculations.
But for shorter-term trading, Weekly/Daily returns ratios provide more information in the process of strategy development.

#7
user-offline.png  MultiCharts Support (MultiCharts)
Oct 25, 2018 - 06:44
andb, please attach your workspace, signals used for tests and data for the symbols to this request so we could analyze the particular case and provide you a precise answer. You can as well send them to support@multicharts.com
#8
user-offline.png  Zheka (Zheka)
Nov 07, 2018 - 05:39

Is this moving towards resolution?

#9
user-offline.png  MultiCharts Support (MultiCharts)
Nov 08, 2018 - 07:21
We have not yet received a specific report with the information requested above.
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