Odd. I got a few negative numbers in optimization results screen.
________________________________ From: Eugene Kononov <[email protected]> To: [email protected] Sent: Sun, December 5, 2010 8:56:50 PM Subject: Re: [JBookTrader] What is duration? "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]. >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. -- 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.
