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As I stated in a previous post, there is a strategy performance Report
bug in the calculation of Ave bars in total/winning/Losing trades.
There is a simple way to see the TS Strategy Performance Report BUG in
Ave Bars winning/Losing Trades.
To prove this I loaded 200 daily bars of IBM.
I applied the following simple strategy that bought and sold every day:
vars: mp(0);
mp=marketposition;
if mp<=0 then buy at next bar market;
if mp>=0 then sell short next bar at market;
The Strategy Performance Report reported:
The total number of trades was 199
The Ave Bars in Total Trades =1.99
Calculating Total Bars in all Trades we get:
Total bars in all trades 1.99*199=396
There are only 200 bars on the chart yet the Total Bars in all trades is 396!
The Strategy Performance Report showed
The Ave bars in Winning trades =2.0
The Ave Bars in Losing trades =2.0
Since the system reverses it trades each day going from long to short
and the next day going from short to long The Ave bars in winning and
Losing trades should be 1.0 NOT 2.0!
The number of bars in a trade that buys Bar1 close and sells Bar2
close is 1. For daily bars, bar1 close to bar2 close is 24hrs m-th.
Also Bar1 open to Bar2 Open is 24hrs m-th.
For daily bars 24hrs is one bar not two.
If I count the total bars in winning and losing trades:
There were 89 winning trades and 108 losing trades and 2 even trades.
The total bars in winning and losing trades are
2.0*89+2.0*108=394 bars.
There are only 200 Bars on the Chart not 394 bars!
TS2000i does not have this error!
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