[R-SIG-Finance] blotter tradeStats Profit.factor is Infinite ?

[Ilya Kipnis]

So there's your answer.

On Mon, Oct 6, 2014 at 9:35 PM, ce <zadig_1 at excite.com> wrote:

>
> 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.
>
>
>
>
>
>
>
>
>
>
>

	[[alternative HTML version deleted]]