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Tomasz,
thank you for your reply.
I clearly understand the qualitative description.
As for the quantitative, I guess the relations posted as true.
If you see the plot, graphs do not match exactly.
Is it because of different accuracy in E/Ref(E,-1) and C/Ref(C,-1)
calculation ?
[The difference appears after the 2nd decimal, ie 0.9579 vs 0.9555]
In last analysis, can we suppose matching graphs [second decimal
accuracy] for
RocE=E1/Ref(E1,-1);Plot(RocE,"Equity ROC",1,1);
b1=Flip(Buy,Sell);s1=Flip(Short,Cover);
Plot((C/Ref(C,-1))*b1+s1*(Ref(C,-1)/C),"Equity ROC equivalent",4,8);
in general, [except the commission bars of course...]
Dimitris Tsokakis
--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <amibroker@xxxx>
wrote:
> Dimitris,
>
> In short positon the relations is inverted.
>
> When you are in SHORT trade - then if PRICE RISES then EQUITY drops
down.
> This is because at entry you "sell short" certain number of shares
and if prices go up
> you "buy back" the same number of shares for higher price. It means
that you loose money.
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: Dimitris Tsokakis
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Tuesday, May 20, 2003 11:25 AM
> Subject: [amibroker] E/Ref(E,-1)
>
>
> Suppose settings Buy/Sell/Short/Cover at Close, delay +1.
> I thought for Equity() E that
> E/Ref(E,-1) [BLACK LINE] is equal to C/Ref(C,-1) [WHITE LINE],
except the bars when the commission is applied.
> I noticed that this relation is true during the Long part of the
trade but not during the Short part.
> What is the E/Ref(E,-1) equivalent for the Short part ? Is it Ref
(C,-1)/C [as I guess]? Anybody to explain ?
> TIA
> Dimitris Tsokakis
>
>
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