blotter tradeStats Profit.factor is Infinite ?
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.