The issue of calculating gains on shorts has been argued here in the past. Originally, the program computed it differently. Several of us made the argument to change it and the developer did change it. I believe it is currently computed in the way we argued for.
================== This message is from the archives: Message: 1138 From: Rik Rasmussen Received: Sun Jan 11, 2004 8:42 AM Subject: shorts Profit on shorts calculation has been corrected in version 4.32. Back tests with long and short should give truer profit report. Rather than use entry and exit, now uses buy and sell prices. Rik Rasmussen Best Charts Yahoo Group Moderator http://groups.yahoo.com/group/bestcharts/ ======================== If you short a stock at $10.00 and later cover at $9.00 you bought at $9.00 to cover and originally sold at $10.00. You invested $9.00 when you bought, sold at $10.00, made $1.00 profit. (sell price - buy price)/ buy price = profit ($10.00 - $9.00)/$9.00 = 11% profit I know some people will argue that shorting should be calculated differently, but to me this is the only method that makes sense to me. The only difference, as far as I am concerned is the fact that I sell fisrt, buy last. Rik Rasmussen Best Charts Yahoo Group Moderator http://groups.yahoo.com/group/bestcharts/ > -----Original Message----- > From: redloonbass [mailto:[EMAIL PROTECTED] > Sent: Monday, September 06, 2004 8:41 PM > To: [EMAIL PROTECTED] > Subject: [bestcharts] Backtest Error for Short Positions > > > Wonderful program, however, it appears to me that the backtest > routine incorrectly computes the % gain for short positions. The > program appears to use the exit price as the divisor for short > positions. > > The correct computation for %gain on a short position should be > (Entry-Exit)/(Entry) and for a long position, (Exit-Entry)/(Entry). > In both cases the divisor should be the Entry price. > > Consequenty, for short positions, it is overestimating gains and > underestimating losses. If the optimization routine is also using > the erroneous computation, then it is not finding the true optimized > parameters for the "short only" and "long and short" options. > > I am using version 4.33.2. Am I correct? > ------------------------ Yahoo! Groups Sponsor --------------------~--> Make a clean sweep of pop-up ads. Yahoo! Companion Toolbar. Now with Pop-Up Blocker. Get it for free! http://us.click.yahoo.com/L5YrjA/eSIIAA/yQLSAA/GHeqlB/TM --------------------------------------------------------------------~-> Yahoo! Groups Links <*> To visit your group on the web, go to: http://groups.yahoo.com/group/bestcharts/ <*> To unsubscribe from this group, send an email to: [EMAIL PROTECTED] <*> Your use of Yahoo! Groups is subject to: http://docs.yahoo.com/info/terms/
