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When I run the following code which should buy on the open and sell on the close of every bar. I get an anomolous short profit in Reports.
How can I corect this?
////////////////////////////////////////////////
//Buy On Open Sell On Close
SetTradeDelays( 0, 0, 0, 0 );
BuyPrice = O;
SellPrice = C;
Buy=1;
Sell=1;
Plot( C, "C", colorBlack, styleCandle );
//////////////////////////////////////////
I have back test settings as follows
Initial Equity: 100000 Periodicity/Positions: Weekly/Long
Commissions: 0.00 per trade Annual interest rate: 5.00%
Range: 29 bars Apply to: Current Symbol
Account margin: 100 Futures mode: No
Def. round lot size: 0 Def. Tick Size 0.1
Drawdowns based on: High/Low prices
Long trades
Buy price: Close Sell price: Open
Buy delay: 0 Sell delay: 0
Short trades
Short price: Close Cover price: Close
Short delay: 0 Cover delay: 0
Stops
Maximum loss: disabled Profit target: disabled
Value: 4.00 Value: 15.00
Exit at stop? no Exit at stop? no
Trailing stop: disabled
Value: 30.00
Exit at stop? no
////////////////////////////////////////////////
Report output when run on Symbol SPY
All Trades Long Short
Initial capital 100000.00 100000.00 100000.00
Ending capital 103068.32 103068.32 102764.42
Net Profit 3068.32 3068.32 2764.42
Net Profit % 3.07 % 3.07 % 2.76 %
Exposure % 10.73 % 10.73 % 0.00 %
Net Risk Adjusted Return % 28.59 % 28.59 % N/A
Annual Return % 5.56 % 5.56 % 5.00 %
Risk Adjusted Return % 51.77 % 51.77 % N/A
--------------------------------------------------------------------------------
All trades 30 30 (100.00 %) 0 (0.00 %)
Avg. Profit/Loss 9.93 9.93 N/A
Avg. Profit/Loss % 0.11 % 0.11 % N/A
Avg. Bars Held 1.00 1.00 N/A
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