[R-SIG-Finance] blotter tradeStats Profit.factor is Infinite ?
ce
zadig_1 at excite.com
Tue Oct 7 03:35:54 CEST 2014
Which ever way it calculates abs(0) is still 0 . Gross Profit / 0 is Inf .
-----Original Message-----
From: "Ilya Kipnis" [ilya.kipnis at gmail.com]
Date: 10/06/2014 09:26 PM
To: "ce" <zadig_1 at excite.com>
CC: "r-sig-finance at r-project.org" <r-sig-finance at r-project.org>
Subject: Re: [R-SIG-Finance] blotter tradeStats Profit.factor is Infinite ?
That depends if gross loss is computed as positive or negative. Tradestats computes it as a negative quantity.
On Mon, Oct 6, 2014 at 8:54 PM, ce <zadig_1 at excite.com> wrote:
most resources says profit factor = gross profit / gross loss
one example is http://www.tradingmarkets.com/recent/whats_your_profit_factor_heres_an_assignment_for_you-657965.html
-----Original Message-----
From: "Ilya Kipnis" [ilya.kipnis at gmail.com]
Date: 10/06/2014 08:45 PM
To: "ce" <zadig_1 at excite.com>
CC: "r-sig-finance at r-project.org" <r-sig-finance at r-project.org>
Subject: Re: [R-SIG-Finance] blotter tradeStats Profit.factor is Infinite ?
Profit factor is defined as the absolute value of gross profits over gross losses. What is anything divided by zero?
On Mon, Oct 6, 2014 at 8:40 PM, ce <zadig_1 at excite.com> wrote:
My test program gives in tradeStats output some Profit factors as Inf . I guess because Gross.Losses are zero .
Is it normal or am I doing something wrong ?
Med.Trade.PL Largest.Winner Largest.Loser Gross.Profits Gross.Losses
ABTL 270.967742 270.96774 0.00000 270.96774 0.00000
Std.Dev.Trade.PL Percent.Positive Percent.Negative Profit.Factor
ABTL NA 100.00000 0.00000 Inf
_______________________________________________
R-SIG-Finance at r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-sig-finance
-- Subscriber-posting only. If you want to post, subscribe first.
-- Also note that this is not the r-help list where general R questions should go.
More information about the R-SIG-Finance
mailing list