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Kiran
2016-03-08 20:37:25
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Hi,
I have a Long/Short ranking system (below) and the Long-Short categories are merged in the Settings.
I consistently see 90% of trades are long and only 10% short, even though the signals seem to be evenly distributed (i.e. 1/2 the symbols have +ve sharpe and trigger Buy signals whereas other half trigger Short signals.
Is my script below causing some issues or bias toward Long trades?
thanks
Krian
///script ...
sharpRank = comp(absolute(sharpe(close,60), "rank", 1,1);
SetSimTiming(_buy,_close,-1);
SetSimTiming(_short,_close,-1);
SetSimTiming(_sell,_close,-1);
SetSimTiming(_cover,_close,-1);
Buy = sharpRank<rankTh && sharp>0.2;
Short = sharpRank<rankTh && sharp<-0.2;
Sell = sharpRank>(rankTh+15) || sharp<0.2;
Cover = sharpRank>(rankTh+15) || sharp>-0.2;
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