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Lionel,
Not clear what you mean by "Exit efficiency means that we have to be able to
read the future".
My comments were referring to the historical backtesting of systems. All the
necessary data to check the historical efficiency of entry/exit strategies
is already in the historical files - the problem is figuring out how to use
it effectively. The current MS System Tester cannot do these sort of
calculations but there is no reason why they cannot be done using other
software.
John
----- Original Message -----
From: "Lionel Issen" <lissen@xxxxxxxxx>
To: <metastock@xxxxxxxxxxxxx>
Sent: Saturday, February 24, 2001 4:17 PM
Subject: Re: Entry Efficiency --- Was: System Tester help on Exits
> 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.
> > > >
> > > >
> > >
> > >
> >
>
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