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Steve Mayo

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Subject : RE: Conditional Experiments
Posted : 5/10/2014 12:43 PM
Post #30506 - In reply to #30502

Hmm, great question, Jim.

Ed's goal was to replicate the switching approach Mark and I used at the portfolio level -- which would presume #1 in your list of possibilities. So, I'm thinking that is likely what the programmer did. I think it will just include/exclude that trade (or that portion of it) when generating the equity curve. However, Ed has noted that it takes much longer to run with hard entries than with hard exits turned-on. Seems to me that both would trigger a next-morning transaction affecting the available equity that would have to be processed so I'm not sure I understand why they are different. Maybe it does recalculate the stops -- treating them sort of like newly signaled trades-- as well, but I'm doubtful given how the trades are coming from a different server that is running all the strategies each evening.

Deleting message 30506 : RE: Conditional Experiments


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