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Stephane,
try for the last 500 bars the
X=Cum(1);XX=Cum(1)%100;
Y=X-2*XX;Plot(Y,"Y",1,1);
O=H=L=C=Y;
D=Optimize("D",10,10,90,10);
Buy=(D+Cum(1))%100==0;
PlotShapes(shapeUpArrow*Buy,colorBrightGreen);
Sell=(-D+Cum(1))%100==0;PlotShapes(shapeDownArrow*Sell,colorRed);
Short=Sell;Cover=Buy;
[intermediate Short are profitable]
and, for the comparison, the
X=Cum(1);XX=Cum(1)%100;
Y=X-2*XX;Plot(Y,"Y",1,1);
O=H=L=C=Y;
D=Optimize("D",49,10,90,10);
Buy=(D+Cum(1))%100==0;
PlotShapes(shapeUpArrow*Buy,colorBrightGreen);
Sell=(-D+Cum(1))%100==0;PlotShapes(shapeDownArrow*Sell,colorRed);
Short=Sell;Cover=Buy;
where the Long trades still make some profits but the Short ones are
loosing "money".
The impact is obvious.
Dimitris Tsokakis
PS. Unfortunately we can not trade it, but, we can't always have what
we want...
--- In amibroker@xxxxxxxxxxxxxxx, "Stephane Carrasset"
<s.carrasset@xxxx> wrote:
> 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
> >
> >
> >
> > Send BUG REPORTS to bugs@xxxx
> > Send SUGGESTIONS to suggest@xxxx
> > -----------------------------------------
> > Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
> > (Web page: http://groups.yahoo.com/group/amiquote/messages/)
> > --------------------------------------------
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> > Yahoo! Groups Links
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