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Can somebody perhaps explain to me why the code below produces a
different value for the Buy&Hold Equity than the Equity of the
example-RSI strategy, as soon as I change the commission-setting to
>0?
Basically, and viewed in a graph, if I set the left-side of a range
at an RSI-buy signal (="firstvisiblebar"), set View to "Range", I get
the same value for both the B&H as well as the RSI-equity IF
commissions = 0. However, if I then increase the commission to, say,
1% it creates different values for both equities. But both strategies
have to pay the same amount of commission at that 1st signal, which
triggers a Buy for both strategies, shouldn't they? Why the
divergence, with all settings the same?
I'm probably overlooking something very basic, but would appreciate
some help.
Thanks,
PS
CritRSI=Param("CritRSI",30,5,50,0.05);
FirstVisBar=Status("firstvisiblebarindex");
StartDate=LastValue(ValueWhen(BarIndex()==FirstVisBar,DateNum()));
Enddate=LastValue(DateNum());
EqType=Param("EqType",0,0,1);
StartCap=1000000;
SetOption("InitialEquity",StartCap);
Buy = (DateNum()==StartDate)
//Status("barvisible")
AND C > 0; Sell = Short = Cover = 0;
AllSigs=ParamToggle("AllSigs","Yes|No");
if (AllSigs==1)
{
Buy=ExRem(Buy,Sell);
Sell=ExRem(Sell,Buy);
Short=ExRem(Short,Cover);
Cover=ExRem(Cover,Short);
}
EqBuyHold = Equity(EqType,3,Startdate,Enddate);
BuyC=RSI()<CritRSI;
SellC=RSI()>100-CritRSI;
ShortC=CoverC=0;
Buy=BuyC; Sell = SellC;
Short = ShortC; Cover =CoverC;
if (AllSigs==1)
{
Buy=ExRem(Buy,Sell);
Sell=ExRem(Sell,Buy);
Short=ExRem(Short,Cover);
Cover=ExRem(Cover,Short);
}
EqLine=Equity(EqType,3,Startdate,Enddate);
BHPerf=(EqBuyHold/StartCap-1)*100;
PFPerf=(EqLine/StartCap-1)*100;
RelPerf=PFPerf-BHPerf;
Plot(EqBuyHold,"Buy&Hold",colorGreen,1);
Plot(EqLine,"PF Value",colorRed,1);
PlotShapes(IIf(Buy,shapeUpArrow,shapeNone) ,colorDarkGreen);
PlotShapes(IIf(Sell,shapeDownArrow,shapeNone),colorLightOrange);
PlotShapes(IIf(Short,shapeDownArrow,shapeNone),colorRed);
PlotShapes(IIf(Cover,shapeUpArrow,shapeNone),colorLime);
Title="{{VALUES}} \n"+"Perf (%) B&H: "+NumToStr(BHPerf,8.3)+"\nPerf
(%) Strategy: "+NumToStr(PFPerf,8.3)+"\nRelPerf (%)
Strategy: "+NumToStr(RelPerf,8.3);
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