Formulas in OneClick Strategy Performance

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Formulas in OneClick Strategy Performance

Postby tayball89 » Thu Aug 29, 2013 11:01 pm

I've got a question about the Strategy Performance tab within the OneClick setup menu.

Do all formula functions (example: absolute value or if statements) work when adding an evaluation field to the Strategy Performance? I'm getting an error when using the absolute value function. I tried an if function as a workaround to the same result, but I'm still get an error.

Here's what I'm trying to do:

abs ( ( $F_MCAvgAnnReturn - $F_A2MCAvgAnnReturn ) / $F_MCAvgAnnReturn )

I ultimately want to identify strategies where the difference between the Monte Carlo return and the Alternate Data Monte Carlo return is less than +-15%.

Any help is greatly appreciated!

Thanks,
Taylor
tayball89
 
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Re: Formulas in OneClick Strategy Performance

Postby Overload » Fri Aug 30, 2013 8:18 am

No, the formulas used in the Entry and Exit Strings do not apply when creating OneClick Fields from the macros. Only these basic math functions can be used:

+ addition
- subtraction
* multiplication
/ division
^ power
() parentheses

In your scenario, it doesn't seem like you need to use an absolute value since you should be able to use the Best and Worst Rated Values to filter the results. For example, set this as your field:

( $F_MCAvgAnnReturn - $F_A2MCAvgAnnReturn ) / $F_MCAvgAnnReturn

Then use these settings:

Best Rated Value: 15 (check the Reject Strategies box)
Worst Rated Value: -15 (check the Reject Strategies box)

Hopefully this will solve it for you.

Pete
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Re: Formulas in OneClick Strategy Performance

Postby tayball89 » Fri Aug 30, 2013 10:45 am

Pete, thanks for the reply.

I've though about doing it the way you suggest, however, I would like to use that data in the overall score. In your suggestion, if I set 15 and -15 as the data limits, then I'd like to be able to assign 0 as the highest score and 15 and -15 as the lowest scores. That's where absolute value comes in handy for me to solve the issue.

I can certainly make-due with the setup you suggest and simply use that calculation as a filter, and not have it calculated into overall score, I just thought I'd check if it were possible.
tayball89
 
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Joined: Tue Aug 20, 2013 12:41 pm

Re: Formulas in OneClick Strategy Performance

Postby Overload » Fri Aug 30, 2013 11:28 am

Thanks, now I understand your need for the absolute value. Expanding those formula capabilities is on the list, but you probably shouldn't expect updates in that area anytime soon. Still, I'll think about it some more and let you know if I can think of any workarounds.

Pete
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Re: Formulas in OneClick Strategy Performance

Postby Jaded » Wed Jun 10, 2015 12:30 am

I'm not great at math, but I think I accomplished this with:

(1000 + $F_AvgAnnReturn) / (1000 + $F_BchAvgAnnRtn)

and rejected when this was < 1 so my strategy would only pass if it exceeded the benchmark return. You could probably accomplish what you need using the same concept.

It would be nice to have an "Alpha" and "Monte Carlo Average Alpha" to be able to use, but really anything could be achieved if we could use some additional math functions, such as "abs"
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Re: Formulas in OneClick Strategy Performance

Postby Jaded » Wed Jun 10, 2015 9:50 pm

Actually, the below criteria makes more sense to get the alpha. I think it eliminates the negative number issue. Your return will be the percentage increase of your system over the benchmark.

Code: Select all
(1000 + $F_AvgAnnReturn) - (1000 + $F_BchAvgAnnRtn)
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