EFS Backtesting - Analyser Question

[gspiker]

Hi,

Either I am misunderstanding what some of the fields in the SA means, or there are a few issues with the reports. Any feedback on my lack of understanding, or if these are bugs would be appreciated.

On the Trade Analysis tab:

1. Avg # of Bars between trades. For all trades it says 7.4 (which I believe), but for long trades it says 33.2 and short trades it says 27. Unless the long and short numbers are really the LONGEST number of bars between trade, these numbers make no sense to me, and don't match the 7.4 number for all trades.

2. Winning and losing trade series numbers. I assume the # of series is "how many back-to-back wins (for the Winning Trade Series) or losses (for the Losing Trade Series) are used to determine the Avg win/loss per series numbers". Yet this doesn't seem to be case. For example in my one run it lists # in series as 8 for losing trades, and I have no streak of more than 4 losing trades back-to-back. The winning trade series also doesn't seem to match the trades listed on the trades tab.

Thanks,

Garth

[ACM]

Garth
I ran a few tests and also I am getting what appear to be some strange values for Avg # of Bars between trades although in my case these are for all trades. I will pass this on to eSignal's developers to look into.
As to the winning and losing trade series here is an example to illustrate how it works.



In the example there are
- 4 streaks of 1 consecutive winning trade
- 1 streak of 2 consecutive winning trades
- 1 streak of 3 consecutive winning trades
- 1 streak of 5 consecutive winning trades
and
- 1 streak of 1 consecutive losing trade
- 3 streaks of 2 consecutive losing trades
- 3 streaks of 3 consecutive losing trades
As you can see in the # column there were no streaks of 4 consecutive trades (winning or losing)
Hope this helps
Alex

Originally posted by gspiker
Hi,

Either I am misunderstanding what some of the fields in the SA means, or there are a few issues with the reports. Any feedback on my lack of understanding, or if these are bugs would be appreciated.

On the Trade Analysis tab:

1. Avg # of Bars between trades. For all trades it says 7.4 (which I believe), but for long trades it says 33.2 and short trades it says 27. Unless the long and short numbers are really the LONGEST number of bars between trade, these numbers make no sense to me, and don't match the 7.4 number for all trades.

2. Winning and losing trade series numbers. I assume the # of series is "how many back-to-back wins (for the Winning Trade Series) or losses (for the Losing Trade Series) are used to determine the Avg win/loss per series numbers". Yet this doesn't seem to be case. For example in my one run it lists # in series as 8 for losing trades, and I have no streak of more than 4 losing trades back-to-back. The winning trade series also doesn't seem to match the trades listed on the trades tab.

Thanks,

Garth

[gspiker]

Alex,

Thanks. I was looking at the series information incorrectly. As you explain it, it makes more sense.

Also thanks for forwarding the bars between trades question/bug.

Garth

[ACM]

Garth
You are most welcome
Alex

Originally posted by gspiker
Alex,

Thanks. I was looking at the series information incorrectly. As you explain it, it makes more sense.

Also thanks for forwarding the bars between trades question/bug.

Garth