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I am having trouble matching the numbers for Exposure% that is
reported in the backtest report
In a simple system like this
SetTradeDelays( 0, 0, 0, 0 );
SetOption( "CommissionMode", 2 );
SetOption( "CommissionAmount", 0 );
SetOption( "initialequity", 10000 );
Buy = Month()!=Ref(Month(),-1);
Sell = Ref(Buy,-10);
BuyPrice = SellPrice = C;
The report gives 9.75%, but my excel calculation gives me 9.77%. does
not seem like much but as number of trades/symbols increases the gap
widens
Can anyone help me with this? I must be using a slightly wrong value
in the calculation but cannot see what
Exposure = sum( EndOfBarOpenTradeValues / EndOfBarEquity ) * 100 / (
NumBarsInTest * NumSymbolsThatTradedInTest )
--
Cheers
Graham Kav
AFL Writing Service
http://www.aflwriting.com
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