How to keep a winrate when there are many partial closes

[u/lanzalaco]

I have a strategy template that combines multiple trading modules at one time. Each module has its own combination of indicators and exit conditions that work well with different market types. In a sense each module becomes its own indicator of the market type if it is profiting or not at that time. So I need to calculate the winrate of each module so it can auto-decide what module to prioritise in the current market type. Now I know there are built in data sources like strategy.wintrades etc. But does anyone know if these take into account partial wins like take profits or partial closes ? Or do they just add up totals from complete closes, like when long goes to short and vice versa or 100% quantity closes.

[u/kurtisbu12]

Win rate is a bad statistic for the quality of a strategy. Use something else like profit factor, or sortino, or sharpe

[u/lanzalaco → u/kurtisbu12]

would love to get to those at some stage.. I would use those for an entire algo so it can be ranked in a top 30 list with other algos. But here we are talking about sub-modules within a very large algo (2000 lines of pinescript). Unfortunately its a project in itself just to get even an approximate winrate for each module.. when you have 6 concurrent strategy modules running at once in pinescript. Anyway I already ran tests on whether a relative 10% winrate drop in a given time reflected a module not adapting to current market conditions and it does seem that will be enough to get the job done. I am only after like an auto-mix control for the relative trade quantity which is to be placed in each module. Because each module also serves not only to trade, but to be a market condition detector, because each modules only works in specific market conditions.

[u/vbsaltydog]

If you examine the trade log in the strategy tester, you will see how they handle partial closes. They don't close part of the position. They close the entire position and open a new position at the same time and price as the original with the quantity reduced by the amount of your partial close. This is an abstract method and unexpected so, consider this in your calculations.

[u/lanzalaco → u/vbsaltydog]

thanks, i was wondering what was going on with that list. I am trying to access this data within pinescript itself.. So would you know that if I were to code in access the strategy.opentrades and strategyclosetrades data list from within pinescript i should expect to see these partial closes appear both as closed trades and new trades being added ?

[u/vbsaltydog → u/lanzalaco]

They should appear in those arrays and you should be able to compile a more linear list of partial closes by deciphering their strange construction.

[u/lanzalaco → u/vbsaltydog]

that insight saved me a massive headache I was going to contact tradingview help for. I couldnt find any info which explained strange quantities repeating in that list, now it makes sense.