<html><head><style>P {margin-top:2px;margin-bottom:2px;}</style></head><body><div style="font-size:10pt; font-family:gulim;"><p>Hi, all</p><p><br></p>This is a simply intra-day system which goes short in the morning and exits in the afternoon.<br>If the test data has '1' in the column of 'isShort_entrySymbol, it goes short, and if the test data has '1' in the column of 'isexitShort', it exits. <br>In this case, the data is just from 2006-01-11 to 2006-01-13, and it has the value '1' in those columns in 2006-01-12.<br><br>I ran the system with quantstrat package, but there was not trades at all.<br><br>> tradeStats("test")[,c("Symbol","Num.Trades","Net.Trading.PL","maxDrawdown")]<br>NULL<br><br><br>But When I ran the system for only 2006-01-12 data (I commented out the line in the attached source), I got 41 trades like below<br><br><br>> tradeStats("test")[,c("Symbol","Num.Trades","Net.Trading.PL","maxDrawdown")]<br> Symbol Num.Trades Net.Trading.PL maxDrawdown <br>testSymbol 41 -1.2 -24 <br><br><br>Please tell me what's wrong with the system.<br>Thanks.<br><br>Wonjae Lee<br><br></div></body></html><!--navermail.footer.start-->
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