> > can you explain a bit more on the usage of bias? is it the ratio of > long trades to short trades? > shall it show how "balanced" a strategy is?
Yes, the "bias" measures the difference between long trades and short trades and expresses the result as a percentage. It varies from -100 to +100. The bias is negative when the number of short trades is greater than the number of long trades. The bias is positive when the number of long trades is greater than the number of short trades. When bias is 0, the number of long trades is the same as the number of short trades. As I was developing one of my strategies, I noticed that it gave me good performance with a trivial change. It turned out that the change simply added a positive delta to the indicator, thus making it generating long trades. Since the testing period is a rising market, that skewed the performance to the upside. That's how I came up with the "bias" metric. The flip side is that a bias (either negative or positive) may not be necessarily a bad thing. One may argue that a "good" strategy should be able to recognize a bull period and make more long trades than short trades during that period. So, the "bias" metric should be interpreted with some care. -- You received this message because you are subscribed to the Google Groups "JBookTrader" group. To post to this group, send email to [email protected]. To unsubscribe from this group, send email to [email protected]. For more options, visit this group at http://groups.google.com/group/jbooktrader?hl=en.
