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Hugh:
Since most of us want as honest a simulation as is possible with the tools
that we have to work with, we add in some realistic commissions and
slippage. By definition, the breakeven trades will fall into the losers
column and therefore skew the performance report to show a higher percent
of losers than it would otherwise. It's just another vagary (or weakness)
of TS.
Randy Murphree
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From: Hugh Wilson <hw@xxxxxxxxxxxxxx>
To: omega-list@xxxxxxxxxx
Subject: Performance summaries
Date: Saturday, October 03, 1998 4:33 PM
In all the performance summaries I've ever seen published, there are only
winning trades or losing trades.
When a trade has moved a certain distance in my favour, I put a stop at my
entry point, ie breakeven. Inevitably these get hit, so my systems have a
lot of breakeven trades, which I classify as such. I know many other
traders use a breakeven stop.
How are such trades summarised by ts? Whether they are included with
winners, losers, or ignored, they must distort many other figures in the
summaries.
Obviously, in real life such trades have a cost, which I allow for. But
many summaries published ignore commissions and slippage anyway.
As a non-ts user, this may be a stupid question - if so, I apologise, and
await being told so!
Hugh.
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