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Refer to an excellent article "Measuring Exit efficiency" by Chuck in
Bulletin No.17. You can find it under Bulletins in the site
www.traderclub.com.
Bhanja
----- Original Message -----
From: Lionel Issen <lissen@xxxxxxxxx>
To: <metastock@xxxxxxxxxxxxx>
Sent: Saturday, February 24, 2001 9:47 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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