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Re: Entry Efficiency --- Was: System Tester help on Exits



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Exit efficiency means that we have to be able to read the future. At present
we can only look at the available information and make a guesstimate. If it
appears that a signal is too early, then change the parameters or use
another indicator.
Lionel Issen
lissen@xxxxxxxxx
----- Original Message -----
From: "Andreas Grau" <agrau@xxxxxxxxxxxxxxxxxxxx>
To: <metastock@xxxxxxxxxxxxx>
Sent: Saturday, February 24, 2001 2:27 AM
Subject: AW: Entry Efficiency --- Was: System Tester help on Exits


> 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.
> > >
> > >
> >
> >
>