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System Results Statistics don't match with System Result Trade List/Summary

Posted By bbmat173 8 Years Ago

System Results Statistics don't match with System Result Trade...

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Posted Wednesday June 10 2009
I have some problems to reconcile the results statistics with the actual trade list.

a) average wins$ and average loss$ amounts are not correct
b) total p&l is correct but strangely the total long p&l and total short p&l is not correct
c) number of trades is not correct

I state "incorrect" because I outputted the complete individual trade list, generated by RE, to Excel to compile my own statistics and compared vs. the RE statistics.

Does anybody else experience such problems? I would investigate further if the trade list did not originate from RE but what is worrisome is that I assume that RE compiles its statistics from the trades it generates and outputs. However, there is a very apparent divergence.

Can someone please look into this or give feedback whether this is already an issue under investigation? I am happy to submit the statistical outputs as well as the exported trade list.

Thanks
Posted Wednesday June 10 2009
Please submit it here or to support. There are no open incidents of incorrect numbers.

bbmat173 (6/10/2009)
I have some problems to reconcile the results statistics with the actual trade list.

a) average wins$ and average loss$ amounts are not correct
b) total p&l is correct but strangely the total long p&l and total short p&l is not correct
c) number of trades is not correct

I state "incorrect" because I outputted the complete individual trade list, generated by RE, to Excel to compile my own statistics and compared vs. the RE statistics.

Does anybody else experience such problems? I would investigate further if the trade list did not originate from RE but what is worrisome is that I assume that RE compiles its statistics from the trades it generates and outputs. However, there is a very apparent divergence.

Can someone please look into this or give feedback whether this is already an issue under investigation? I am happy to submit the statistical outputs as well as the exported trade list.

Thanks
Posted Friday June 12 2009
Sorry for this late reply. I have tried to reproduce this issue but it looks as if I need to sincerely apologize I could not find any problems with the statistics when I ran tests after that original one so I am now pretty certain that a bug sneaked into my VBA code (I run a simple spreadsheet to further drill down on statistics which I output in addition to what RE shows). Sorry about that.
Posted Wednesday July 01 2009
I actually think I found what may be a bug in the RE statistics. Please correct me if I am wrong. I attached two csv files , one position summary and one system summary. The total number of trades does not match with the actual trades. Could you please have a look and provide some feedback. Thanks a lot.

Attachments
positionlist.txt (397 views, 50.00 KB)
system summary.txt (387 views, 1.00 KB)
Posted Wednesday July 01 2009
I think I have a reproducible case here. Something is definitely fishy, this is a hot item that we will resolve before the next build comes out.
Posted Wednesday July 01 2009
It may be caused at times when a trade is triggered for the same instrument with the same size in the same direction. Of course such trades should be treated separately, especially if they have been triggered on different bars and therefore with different entry prices. Just a guess...

As a note aside, there may be more issues than just the number of trades, where RE groups different trades and treats it as one, such as realized p&l.


Edited: Wednesday July 01 2009 by bbmat173
Posted Sunday July 05 2009
This issue has come up several times, so here is an explanation in FAQ format:

Why do the numbers in the System Results Summary not seem to match the Position List?

This happens when you have a system that opens more than one position per symbol at the same time. RightEdge allows your system to open multiple positions for a single symbol. If you have a 100 share position open, and you want to buy 100 more shares, you can either add to the existing position, resulting in a position of size 200, or open a new position, resulting in two positions of size 100.

However, if your are trading with a real broker, the broker will (usually) not make this distinction. There will simply be two filled orders for 100 shares, resulting in a total position of 200 shares long. Since the broker is the authority on your profit and loss, it is important for our system statistics to match their calculations as closely as possible. So the system statistics calculations combine multiple simultaneous positions for the same symbol into one position. The system statistics are what are shown on the system results summary screen, and this is why the number of trades shown their can be less than the number of positions in the position list.

Thanks,
Daniel

Posted Saturday July 18 2009
I understand your point but in my opinion its a pretty bad concept for backtesting. When backtesting, new trades that are opened should be treated as new trades regardless of whether an open position exists already or not. Imagine you want to test for an edge in your entries only by exiting all trades x-bars after the position was opened. The current way RE handles trades on the same instruments makes it impossible to test such entry efficiency.

I agree with you that the economics are the same when live trading but for backtesting purposes the story is entirely different. I worked around by implementing my own statistics class but it was re-inventing the wheel, something I think was not necessary. I hope that when opening NEW positions vs adding to existing positions will really be treated as its own new position and not lumped together. Its kind of defeating the very purpose of backtesting ideas.

Posted Wednesday May 27 2015
I stumbled over the same issue. I agree with the poster that you should see the actual number of trades, which does make sense from a backtesting perspective.

The solution here would be to add an option for a strategy to turn this on or off. This does screw up the other trade stats too because they're based on wrong information. Also not all brokers do it that way, some (in forex for example) will show you a new trade even if there's already an open position in a symbol.
Posted Thursday May 28 2015
The next major version of RightEdge (no ETA on when it will be released) will show the actual number of trades in the system results summary as you would expect.

For now, the total number of trades is available, it's just not shown on that results page.  You can see the actual trades in the trades list, and you can write a system results plugin yourself to display whatever information you like.

Thanks,
Daniel


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