blotter tradeStats Profit.factor is Infinite ?

yes but in the output I pasted Gross Profit is 270.96774 , so  I have some profit, no loss meaning ????


-----Original Message-----
From: "Ilya Kipnis" [ilya.kipnis at gmail.com]
Date: 10/06/2014 09:48 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 ?

So theres 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

https://github.com/rforge/blotter/blob/master/pkg/blotter/R/tradeStats.R#L147

GrossProfits <- sum(PL.gt0)
GrossLosses <- sum(PL.lt0)
if(GrossLosses == 0) ProfitFactor <- NA
else  ProfitFactor <- abs(GrossProfits/GrossLosses)

2014-10-07 7:38 GMT+02:00 Daniel Cegie?ka <daniel.cegielka at gmail.com>:

https://github.com/rforge/blotter/blob/master/pkg/blotter/R/tradeStats.R#L147

GrossProfits <- sum(PL.gt0)
GrossLosses <- sum(PL.lt0)
if(GrossLosses == 0) ProfitFactor <- NA
else  ProfitFactor <- abs(GrossProfits/GrossLosses)

more compact:

GrossProfits <- sum(PL.gt0)
GrossLosses <- sum(PL.lt0)
ProfitFactor <- ifelse(GrossLosses == 0, NA, abs(GrossProfits/GrossLosses))

Maybe we should add more such checks to the code (for div ops)? eg:

AnnSharpe  <- ifelse(StdDailyPL == 0, NA, AvgDailyPL/StdDailyPL * sqrt(252))
AvgWinLoss <- ifelse(AvgLossTrade == 0, NA, AvgWinTrade/-AvgLossTrade)
MedWinLoss <- ifelse(MedLossTrade == 0, NA, MedWinTrade/-MedLossTrade)
ProfitToMaxDraw  <- ifelse(MaxDrawdown == 0, NA, -TotalNetProfit / MaxDrawdown)

btw. NA looks better than Inf.