Different Z-Ratios?

Questions directed to our Support Team. Responses can be expected within 24 hours.

Different Z-Ratios?

Postby sratastearch » Tue Apr 07, 2015 9:38 am

For my currently-running AutoSearch, in the Results table, I added a column for Z-Ratio (using the Views button>ViewsListing/Equity Performance>Update +ZRatio) in the Equity Performance view. The Z-Ratio for one of the results I'm interested in calculates at 3.15.

However, when I run/view a Detailed Analysis for that record and view the Review tab, the Z-Ratio shows 1.3847.

Why are these different?
Thank you.
sratastearch
 
Posts: 9
Joined: Fri Mar 20, 2015 11:50 am

Re: Different Z-Ratios?

Postby Overload » Tue Apr 07, 2015 11:57 am

There are actually a couple reasons for that. The first is that the two Z-Ratios you are looking at are based on different reports. The Combination Results are similar to the Trades Report in the Detailed Analysis, where equity is not tracked, and all trades are included regardless of whether there is enough cash in the account to purchase a trade. The Equity reports, however, track equity and will bypass trades if there is not enough cash in the account to enter a trade. The Variable Trade Equity report also shows reinvested profits while the Fixed Trade Equity report does not. Because of these different approaches, different trades may be held by each report.

The second reason is that the calculation of the Z-Ratio contains a random element. The Z-Ratio compares the actual trades purchased with a random selection of trades over that same time period, meaning that the random selection of trades may differ from one run to another. For this reason, running a report over and over multiple times will likely create a different Z-Ratio each time. However, unless there is a large variance in the random trades, the Z-Ratio will be within a certain range each time, so running once it just once will hopefully be indicative of the result that would be produced over multiple runs.

Pete
Overload
 
Posts: 2248
Joined: Wed Nov 30, 2005 12:14 pm


Return to Technical Support