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I notice this as well (e.g., when using the AFL from the Implied Volatility
and Volume article here:
http://www.amibroker.com/members/traders/06-2003.html)
Could the difference be due to the fact that, for the same time frame and
watchlist with QP data:
a) the number of Long trades is different for a Long Only system(107)
compared to a Long and Short system(82).
b) the number of Short trades is different for a Short Only system
(84)compared to a Long and Short system(88).
?
-john
PS: I include my ABS settings file (for the Long and Short system) if anyone
want to try and replicate my results
----- Original Message -----
From: "Stephane Carrasset" <s.carrasset@xxxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Monday, March 29, 2004 4:56 AM
Subject: [amibroker] Backtest Long+Short # Long&Short
Hello,
If I backtest separately long and short
for ex long returns 174%
short returns 528%
and if I backtest Long and Short at the same time the returns is 1600%
have you already observed this difference
stephane
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Attachment:
trade_diff.ABS
Attachment:
Description: "Description: Binary data"
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