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Ok all you TS 8.1 lubbers check this out.
In comparing identical strategies on the exact same price series, with
TS2000i and TS.1 build 3159, I noticed that all performance numbers
were exactly the same EXCEPT for the Ave Bars in winning trades and
Ave bars in losing trades.
To check this out I put a chart of IBM daily bars for the last 50 days
(end date 4/28/2006) on TS8.1. I then put the TS 8.1 canned
strategies MovAveCross LE and MovAveCross SE on the chart with the
input values of "close,9,1" and maximum bars system will reference of
9.
The performance summary reported a total of 8 trades, 1 winning and 7 losing.
Ave Bars in total Trades =5.13 with total number of trades =8 which
gives total number of bars in all trades of 8*5.13=41. The first
trade occurred after 12 bars from the start had passed. Since there
were only 50 bars on the chart, the maximum number total number of
bars in all trades = 50-12=38 NOT 41.
There was 1 winning trade of 13 bars . There were 4 bars in the last
trade on the chart which was open. The open trade had a profit of
$18.
There was 7 losing trades with Ave Bars in Losing trades of 4.00. So
total bars in losing trades were 4.00*7=28. I counted 22 total bars
in losing trades. Also since the strategies did not start trading
until 12 bars had past and there were only 38 bars left on the chart
and there were 13 bars in the winning trades the maximum number of
bars in the losing trade could only be 38-13=25 NOT 28
I tried another strategy macd(3,5,8) on the IBM daily bars and TS8.1
gave erroneous results for the Ave Bars in winning trades & losing
trades. I copy the TS8.1 IBM data to an ascii file. I used TS2000i
to import the IBM asii file and applied the macd(3,5,8) strategy to
the 50 IBM daily IBM bars in TS2000i. TS2000i gave the correct
results for the ave winning and losing bars.
I sent this report to TS support today.
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