|
PureBytes Links
Trading Reference Links
|
John,
I couldn't agree more to what you said. Measuring, if a signal takes you out
too early would sure be helpful. And to me, this would be a completely new
indicator.
Your version would add a time component to the meaning: Would it be more
rewarding to wait longer before exiting?
My (their) version completely ignore time and just take the signal as it this.
And then tells to what extent the top between Entry and Exit has been picked.
In effect, your version questions the signal, while my (their) version
questions the efficiency of a given signal. So the versions can perfectly
coexist.
I would love to find a way to evaluate your version without the dangers
of optimization. If you have any idea, just let's try it. What other
measurements of system or signal efficiency do you see?
Best regards,
Andreas
> -----Ursprüngliche Nachricht-----
> Von: owner-metastock@xxxxxxxxxxxxx
> [mailto:owner-metastock@xxxxxxxxxxxxx]Im Auftrag von John R
> Gesendet am: Samstag, 24. Februar 2001 00:57
> An: metastock@xxxxxxxxxxxxx
> Betreff: Re: Entry Efficiency --- Was: System Tester help on Exits
>
> Andreas,
>
> Calculating system entry and exit point efficiency is quite interesting and
> not as straightforward as it may first seem. Calculations based on just the
> trade period can be very misleading.
>
> For example if a sytem exits a long trade after 5 days with a 5% gain but
> the stock then continues to
> rise another 8% over the next 5 days was the exit efficient?
>
> IMO to calculate the true efficiency of an exit it is necessary to take
> account of what actually
> happened in the market after the exit. Basically for long trades we want to
> know how close the system exit was to finding the highest peak in the nn
> days following the trade entry and for short trades similarly the lowest
> trough. Deciding how many days past the system exit to examine for this
> purpose is also an interesting question. Note although I have referred to
> "days" throughout any time period is applicable.
>
> John
>
> Andreas wrote:>
>
> > Just to add a bit of information:
> >
> > At www.rinasystems.com under Articles you'll can find a .PDF-file covering
> > the measurement of system efficiency, i.e. how to calculate and interpret
> > their so called entry/ exit/ and total efficiency. These numbers provide
> > additional insight into how well your signals are.
> >
> > The calculations for Long Positions are as follows, where:
> > Entry and Exit Price are speaking for themselves,
> > Lowest and Highest Price are the relative low/high values during the trade
> >
> > Total Efficiency = (Exit Price - Entry Price) / (Highest Price - Lowest
> Price)
> > Entry Efficiency = (Highest Price - Entry Price) / (Highest Price - Lowest
> Price)
> > Exit Efficiency = (Exit Price - Lowest Price) / (Highest Price - Lowest
> Price)
> >
> > Thus you'll see how well your signals worked.
> >
> >
> > Andreas
> >
> > ---
> > Andreas Grau aka agrau@xxxxxxxxxxxxxxxxxxxx
> >
> > I know you believe you understand what you think I said,
> > but I am not sure you realize that what you read is not
> > what I meant. -- Found in an English pub
>
> > John wrote:
> >
> > > In case anyone was wondering why I would want an exit like this it is
> purely
> > > for testing out the relative effectiveness of various different entry
> > > strategies (by minimising the effect of the exit strategy). In a real
> > > system the exit strategy would be just as important, if not more
> important,
> > > than the entry strategy.
> >
> >
>
>
|