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Hello,
I was experimenting with the above two functions. It is my
understanding that both are supposed to remove redundant signals, but
I got some unexpected results. Here are three examples with simple
code. In each case I tested the last 100 bars of a stock, entering on
the open with a 1 day delay and exiting on the open with a 1 day
delay. Can anyone explain what is happening?
Thanks,
Mark
Example 1.
Buy = C>Ref(C,-1);
//Buy = ExRemSpan( Buy, 5 );
Sell = Ref( Buy, -5 );
e = Equity( 1 );
I got a mixture of 1, 2, 3 and 5 day exits.
Example 2.
Buy = C>Ref(C,-1);
Buy = ExRemSpan( Buy, 5 );
Sell = Ref( Buy, -5 );
//e = Equity( 1 );
Always 5 day exits as expected.
Example 3.
Buy = C>Ref(C,-1);
Buy = ExRemSpan( Buy, 5 );
Sell = Ref( Buy, -5 );
e = Equity( 1 );
5 day exits except at end where I have an open long 6 days old.
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