"Duration" is the average number of minutes per open trade. Example: strategy made 2 trades. Trade 1: short at 10:00 and flat at 11:00. Trade 2: long at 12:00 and flat at 14:00. The average duration will be reported as 90 (minutes). This is a useful metric for evaluation of what's called "time in market". By definition, duration can not be negative.
On Sun, Dec 5, 2010 at 9:48 PM, Astor <[email protected]> wrote: > Eugene, one of the optimization columns is labeled "Duration". Since it can > take on negative values, I assume it is not the average holding period. It > does not appear to be NPV of future cash flows either. What is it? > > -- > 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]<jbooktrader%[email protected]> > . > For more options, visit this group at > http://groups.google.com/group/jbooktrader?hl=en. > -- 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.
