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The difference comes of the number of contracts.
if the long system and the short system are both winning systems.
the equity increases faster when I combine the two systems so I can
buy or sell more contracts ( it was a backtest on futures )
stephane
>
> 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@xxxx>
> 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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