Seems like you are defeating the purpose of the metric. Assume you're given 2 x
$1,000 on Jan 1, 2006 to invest for 3 years; $1,000 for each of 2 systems.
- System A generates its first trade immediately on Jan 1, 2006 and finishes
the 3 year period up $500.
- System B does not generate its
Hi Mike,
i agree with you when comparing two different systems that have the same
starting point and different trade frequency.
My problem has been to compare performance of the same system among different
periods.
Anyway, thanks for your feedback. I just wanted to share the code and get
