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Tony,
If I buy on the close of Thursday and sell on the close of friday
using daily bars that trade takes 24hours and one bar. If I buy on
the open thr and sell on the open friday, that trade takes 24hours and
1 bar also. Open to open is one bar not 2.
TS2000i and every other trading platform does this calculation
correctly. TS8.1 does not.
If you are buy and selling at the market, TS8.1 adds one extra bar to
every trade's number of bar in trade. If you use these stats this
error will create erroneous results.
If your like DH and could care less about accurate performance stats
good for you.
Date: Wed, 13 Sep 2006 10:44:04 -0700
From: "Tony Ross" <ynotssor@xxxxxxxxxxx>
To: omega-list@xxxxxxxxxx
Subject: RE: TS8.1 Performance Summary Report BUG Part Trois
Message-ID: <BAY123-F15CA7EC60899CB0094CC59DE280@xxxxxxx>
Content-Type: text/plain; format=flowed
"Mike Symth" <mqsymth@xxxxxxxxx> wrote:
>The number of bars in a trade that buys Bar1 close and sells Bar2
>close is 1.
Huh? You just very, very clearly stated that there are 2 bars involved in
each trade: "Bar1" and "Bar2", e.g. "BarN" and "BarN+1".
While I agree that there is a math anomaly in the results you report, your
logic in describing it is flawed. Since _each_ bar after the first and
before the last completed bar is involved in _2_ trades each, the results
you report make some sense. The "1.99" is the only questionable aspect, but
it may result from the first bar being involved in only 1 trade, and may be
exaggerated if the lastbaronchart is not yet complete when the results are
calculated, since the lastbaronchart is included in any runup/drawdown
calculations whether it's complete or not, yet the exit/enter trades for
that bar won't execute unless barstatus(1)=2..
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