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Hello,
Members who just joined are put on the moderation queue, so
first post is moderated manually.
This is because hundreds of spam attempts that hit this list
that need to be filtered out.
Once your first valid post is accepted you are switched
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Best regards,
Tomasz
Janeczko
amibroker.com
----- Original Message -----
Sent: Wednesday, April 09, 2008 8:02
AM
Subject: [amibroker] Re: Exclude open
positions from back test/optimisations
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
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