I have a strategy that over time is either long or short but not both at the same time. I'm having difficulty understanding the Long and Short trades columns in the back test report when I run the back test in Long and Short mode.
Long only backtest gives (Net Profit 458.76%) Initial capital 100000.00 100000.00 100000.00 Ending capital 558757.12 558757.12 106586.98 Net Profit 458757.12 458757.12 6586.98 Net Profit % 458.76 % 458.76 % 6.59 % Exposure % 38.28 % 38.28 % 0.00 % Net Risk Adjusted Return % 1198.47 % 1198.47 % N/A Annual Return % 30.78 % 30.78 % 1.00 % Risk Adjusted Return % 80.42 % 80.42 % N/A Short only backtest gives (Net Profit 75.89%) Initial capital 100000.00 100000.00 100000.00 Ending capital 175889.18 106586.98 175889.18 Net Profit 75889.18 6586.98 75889.18 Net Profit % 75.89 % 6.59 % 75.89 % Exposure % 28.44 % 0.00 % 28.44 % Net Risk Adjusted Return % 266.88 % N/A 266.88 % Annual Return % 9.21 % 1.00 % 9.21 % Risk Adjusted Return % 32.38 % N/A 32.38 % The Long & Short backtest gives, Initial capital 100000.00 100000.00 100000.00 Ending capital 921758.81 712441.67 315904.12 Net Profit 821758.81 612441.67 215904.12 Net Profit % 821.76 % 612.44 % 215.90 % Exposure % 66.78 % 38.28 % 28.50 % Net Risk Adjusted Return % 1230.56 % 1599.91 % 757.56 % Annual Return % 41.40 % 35.84 % 19.65 % Risk Adjusted Return % 62.00 % 93.62 % 68.96 % Notice the Long Net Profit is 612.44% and Short is 215.90% which is quite a bit different then when I ran them independently. Other columns are different as well but I'll focus on Net Profit % for now. I expect there is some compounding thing happening here but if someone asked me I couldn't explain it. Does anyone out there have a explanation. Thanks in advance, Ron
