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I reported this bug to TS Support and to the TS Forum at the end of
April when I discovered it. The example I've given is a simple example
that anyone can duplicate.
I discovered the error by comparing the TS8.1 Performance Report with
the TS2000i Performance report. Everything matched but the average
bars in total winning and losing trades and anything that had to do
with winning and losing bars.
I double checked by counting the winning and losing bars myself and
discovered that TS 8.1 adds an extra bar per trade if the trade
buy/sells at the market on the open of a bar. TS2000i did not do
that.
I think my example speaks for itself.
Many TS users on the Forum after reading about this bug have sent
complaints to TS Support without avail!
On 9/12/06, Mark Simms <marksimms@xxxxxxxxxxx> wrote:
Unbelieveable. How long has this problem been outstanding since first
reported ?
Tradestation's tech support still leaves a lot to be desired !
> -----Original Message-----
> From: Mike Symth [mailto:mqsymth@xxxxxxxxx]
> Sent: Tuesday, September 12, 2006 12:53 AM
> To: omega-list@xxxxxxxxxx
> Subject: TS8.1 Performance Summary Report BUG Part Trois
>
> Ok Frenchy here is a TS8.1 bug that's still there. I
> reported this bug in May. Since you are a Math teacher? why
> aren't you concerned about this? N'est pas?
>
> 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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