Hi, I send this message for the 3rd time, since it has not appeared on the forum. TJ, is there something i must/ must not do, to get my messages on board?
Hi Everyone!
In a back test/ optimisation run, Is there a way to list only closed trades and exclude
any trades open at the end of the testing period? A closed / realised
equity, if you may?
The results of the EMA crossover system I'm testing
(single security, long only) are significantly skewed by the last open
trade entered towards the end of the testing period. This trade reverses a trend of cumulative losses and takes the system into huge profitability as the markets really start to trend at the end.
I want to exclude this trade (and reduce the system's dependency
to fat tail moves, that I could easily miss in real life) and compare
performace on a realised returns basis only. Is there a line i can put into my AFL that will exclude positions that are open at the end of the testing period and compare alternate combinations on the basis of equity on closed trades only?
Thanks in advance
Kazaan
On 03/04/2008, furinkazaan <furinkazaan@xxxxxxxxx> wrote:
Hi Everyone!
Is there a way to list only closed trades and exclude any trades open at the end of the testing period? A closed / realised equity, if you may? The results of the EMA crossover system I'm testing (single security, long only) are significantly skewed by the last open trade. I want to exclude this trade (and reduce the system's dependency to fat tail moves, that I could easily miss in real life) and compare performace on a realised returns basis only.
Thanks in advance
Kazaan