profit_factor below confidence interval
saddy001 opened this issue · comments
When using result = strategy.backtest(calc_bootstrap=True, train_size=0.5)
I often see the result.metrics.profit_factor
being lower than result.bootstrap.profit_factor.low_2p5
. I see it more often than one would expect from a 2.5% chance.
I have two questions:
- Can you confirm this (without a minimal reproducing example)?
- Is boostrapping in combination with the train_size parameter even supported?