[BUG] Criteria depending on ReturnCriterion includes the base

[nimo23]

Describe the bug
I don't know exactly if this is a bug, but we should discuss it to make sure that it's correct.

The following critera:

• ReturnOverMaxDrawdownCriterion
• AverageReturnPerBarCriterion
• LinearTransactionCostCriterion

use the ReturnCriterion which includes the base for their calculations. Is this correct? Or should we exclude the base by doing:

(1) AverageReturnPerBarCriterion:

public class AverageReturnPerBarCriterion extends AbstractAnalysisCriterion {

   private final ReturnCriterion grossReturn = new ReturnCriterion(false);
..

(2) ReturnOverMaxDrawdownCriterion:

public class ReturnOverMaxDrawdownCriterion extends AbstractAnalysisCriterion {

   private final AnalysisCriterion grossReturnCriterion = new ReturnCriterion(false);
..

(3) LinearTransactionCostCriterion:

public class LinearTransactionCostCriterion extends AbstractAnalysisCriterion {

public LinearTransactionCostCriterion(double initialAmount, double a, double b) {
        this.initialAmount = initialAmount;
        this.a = a;
        this.b = b;
        grossReturn = new ReturnCriterion(false);
}
..
}

What do you think?

For (1) AverageReturnPerBarCriterion:

The general formula for ReturnOverMaxDrawdownCriterion:

Return over Max. Drawdown = Total Return / Max. Drawdown

or:

Return over Max. Drawdown = (Total Return - Max. Drawdown) / Max. Drawdown

with the general formula for TotalReturn:

Total Return = (Final Investment Value - Initial Investment Value) / Initial Investment Value

If we have a MaxDrawdownCriterion = 1 (= total loss) and ReturnCriterion = 1 (because we include the base), then we have ReturnOverMaxDrawdownCriterion = 1. I don't know if this makes sense at all. I think, the "Total Return in percentage" should not include the base value of 100% Am I right? If so, then we should exclude the base from the calculation of ReturnOverMaxDrawdownCriterion.

[nimo23]

Ok, I think there are misunderstandings due to a lack of information:

We need to add the base to avoid minus signs canceling out when dividing. I guess (but I am not 100% sure), it is not wrong to include the base,

@team172011 can you confirm that it's actually correct?

[phong-phuong]

I agree. For most metrics where return is used, it is the excess return (without the base) that is of interest.
Otherwise, for a strategy that does absolutely nothing, 100% return per bar looks amazing, but in fact doesn't generate any yield.