Why some metrics, such as Sortino , K-ratio etc not calculate in raw profit mode?
Sometimes for calculation metric need take a log function( it is impossible for negative values) , but not always ( Sortino ratio for example).
Thanks.
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Because these performance metrics (Sharpe, Sortino etc.) depend on equity which is not applicable in RP mode.
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Why?
When I backtest in raw profit mode I get equtiy curve. The only difference is that Equity can to be negative ( and trades always executed). All other properties are kept
PS
I'm sorry for my english
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You're confusing Net Profit with Strategy Equity.
Also, RP mode does not have the concept of starting capital - which is the basis of equity and may be used by some performance metrics.
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Why is zero (or other const value) can not be considered as starting capital?
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Why not just switch to Portfolio Simulation mode?
Taking an arbitrary constant value is nonsense (IMHO). Take zero and you're about to design your own performance metric - but it's no longer "Sharpe". Be careful not to divide by zero: for example, Sharpe uses the starting equity to calculate percentage returns.
You have to accept it: it has to be like that, and it's not going to change.
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What I do not understand and I do not like it. This is the main reason))
I also want to optimize the whole dataset, but on each security separately. Since it takes place in Raw Profit Mode optimization. And everything is good, but on the K-ratio or Sortino I can not optimize.
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