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Perhaps if I add the system tests I am actually running with which
gives a wider discrepancy
5 minute period
1 symbol
21 days (1580 bars)
6 trades, no overnight holds, total bars in trades 317
20% equity trade size entry
Sum of value ratios = sum(positionvalue/equity at each bar) = 62.87
Exposure % 62.87/1580*100 = 4.00%
The backtest report gives 0.77%
--
Cheers
Graham Kav
AFL Writing Service
http://www.aflwriting.com
On 09/03/2008, Graham <kavemanperth@xxxxxxxxx> wrote:
> 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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