Results of Long + Short Trades Aren't Equal to All Trades
Author: bkduper
Creation Date: 11/12/2015 1:09 PM
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bkduper

#1
I'm backtesting a simple RSI 14 buy at 20 sell at 80 and short at 80 buy at 20. Why don't the number of trades for ALL TRADES equal the sum of SHORT + LONG trades? I've gotten the same incorrect calculations many times. In fact sometimes the number of trades will add up correctly but other results like the net profit, ending capital etc won't work out right?

Additionally it seems when running the same backtest multiple times not changing any values, stocks, anything I get COMPLETELY different data and findings? What gives here? Is the data that messed up and inaccurate?
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Eugene

#2
QUOTE:
In fact sometimes the number of trades will add up correctly but other results like the net profit, ending capital etc won't work out right?

Please tell us how this can be reproduced, and we'll explain. Let's start with this:

1. Strategy rules (known in general)
2. Wealth-Lab tool in use: is this a Strategy Window or Combination Strategy?
3. Single symbol or Multi-symbol mode, Position Sizing, and Data Loading settings
4. Symbol(s) and Data provider
5. Which exact metrics don't seem right to you? (Net Profit, ending capital, what else?)

QUOTE:
Additionally it seems when running the same backtest multiple times not changing any values, stocks, anything I get COMPLETELY different data and findings? What gives here? Is the data that messed up and inaccurate?

No, you simply haven't discovered our Wiki FAQ yet :)

Every time I run a Strategy I get a different result. What am I missing?
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bkduper

#3
That for pointing to more reading - I'd rather not spend my 30 day trial reading over the entire User Guide. This what a forum is for to help with specific questions....again it seems this is more and more pointless....

2. Strategy Window not combo
3. Multi-symbol (S&P100), simulated trading with $1,000 position sizing each time w/ $1M starting capital.
4. S&P 100 list from you all standard and defaulted into the system.
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Eugene

#4
Okay, let's take your example assuming S&P 100, All Data, starting equity = $100K, position size = 10% equity.



Net Profit Long 59013.77 + Net Profit Short -168915.66 = Net Profit of All Trades -109901.89

So what doesn't add up here?

QUOTE:
That for pointing to more reading - I'd rather not spend my 30 day trial reading over the entire User Guide. This what a forum is for to help with specific questions....again it seems this is more and more pointless....

While "make money fast" doesn't fit well with systematic trading in general, some learning curve is inevitable with any powerful software framework - not just Wealth-Lab. The FAQ serves exactly to save your time and to make your learning curve less steep by answering typical questions like that.
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