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Is there any way other than by time-consuming inspection of the trade
list (which would be thousands of trades) to find out the following
bits of information:
1) The average number of signals per day? This would be for an
"always in" system, trading at or very near the close, so I would
have to limit the number of symbols in the trading basket to quite an
extent. But that extent would depend somewhat on the average number
of signals per day, and . . .
2) How many times the maximum (all the symbols in the trading basket)
signalled on the same day?
3) If possible, I'd also like to know how often, and/or for how long,
the system went 100 percent one way or the other. At the moment, the
system is 90 percent long, 10 percent short. If I could get a graph
or even statistical data to give me a running history of this ratio,
that would be great.
My last question has to do with nBar apply stops. Is there a way to
write an nBar stop that is X for closing long positions and Y for
closing short positions? I am not even sure if I would need one
statement, or separate statements. And I would only be looking for
the nBar to trigger at X or Y bars ONLY if the positions were
profitable at the time. (Statistically, they would probably already
be reversed if they were not profitable by the number of bars I'm
thinking of, but not in every case of course. Still, I am only
thinking of short-circuiting profitable trades at the moment.) It
would seem my average winner runs about 25 bars, while the average
loser runs less than half that. So, I'd be looking at around, say,
the 20 bar mark, a point at which few losing trades would still be
alive anyway.
Help gratefully appreciated.
Yuki
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