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No,
I am thinking on not longer using sellprice array to calculate B&H & open pos.
The inclusion of open position is important because your system
may have 3 closed trades and one that is open.
If the open position shows big loss when it is closed at the end
of the analysis period it means that the system is very risky (big drawdowns).
If you want to see the profit without the closed out open pos
you may subtract "Open position profit/loss figure" from "Total profit"
in the backtesting report.
Best regards,
Tomasz Janeczko
===============
AmiBroker - the comprehensive share manager.
http://www.amibroker.com
----- Original Message -----
From: "Stephane Carrasset" <nenapacwanfr@xxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Wednesday, November 07, 2001 5:02 PM
Subject: [amibroker] Re: Bug in sellprice for some stocks
> Tomacz,
>
> you are thinking to implement :
> "Don't you think we must exclude the open position of the results of a
> system ,
> Why take in account a trade when It is not finished?"
>
> I think it is more real life
>
> stephane
>
>
>
> > Hello again,
> >
> > After thinking about it again I am drifting to your idea:
> > maybe it will be better to implement your solution
> > - this will be clearer and will not lead to confusion.
> >
> > Best regards,
> > Tomasz Janeczko
> > ===============
> > AmiBroker - the comprehensive share manager.
> > http://www.amibroker.com
> >
> >
> > ----- Original Message -----
> > From: "Tomasz Janeczko" <amibroker@xxxx>
> > To: <amibroker@xxxx>
> > Sent: Wednesday, November 07, 2001 3:18 PM
> > Subject: Re: [amibroker] Re: Bug in sellprice for some stocks
> >
> >
> > > Dear Stephane,
> > >
> > > The problem is that sellprice array is not for storing
> > > targets. Sellprice should be used exclusively to control
> > > the price at which trade actually takes place.
> > > This gives you maximum flexibility but (this is true) enables
> > > a new ways for shooting yourself in a foot :-)
> > >
> > > Therefore, if you (ab)use sellprice for storing target
> > > prices you have to add the following at the end of your formula
> > >
> > > sellprice = IIF( sell, sellprice, close );
> > >
> > > This ensures that for all bars where sell signal is *not*
> generated
> > > the sellprice array equals to close.
> > >
> > > Best regards,
> > > Tomasz Janeczko
> > > amibroker.com
> > >
> > > ----- Original Message -----
> > > From: "Stephane Carrasset" <nenapacwanfr@xxxx>
> > > To: <amibroker@xxxx>
> > > Sent: Wednesday, November 07, 2001 3:00 PM
> > > Subject: [amibroker] Re: Bug in sellprice for some stocks
> > >
> > >
> > > > Tz,
> > > >
> > > > >
> > > > > This is true that Open position take sellprice (coverprice for
> > > > short) for
> > > > > calculation. This is by design.
> > > >
> > > > In this case if the rules for LONG of a sellprice is a target
> of 100%
> > > > of the entryprice, all open position will take this target of
> 100%.
> > > > it is not realistic!!
> > > > Don't you think we must exclude the open position of the
> results of a
> > > > system ,
> > > > Why take in account a trade when It is not finished?
> > > >
> > > >
> > > > Stephane
> > > >
> > > >
> > > >
> > > >
> > > >
> > > > Your use of Yahoo! Groups is subject to
> http://docs.yahoo.com/info/terms/
> > > >
> > > >
> > > >
> > >
> > >
> > >
> > >
> > >
> > > Your use of Yahoo! Groups is subject to
> http://docs.yahoo.com/info/terms/
> > >
> > >
> > >
>
>
>
>
>
> Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
>
>
>
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