Last Position and Performance fallacy

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06/11/2016 at 2:00 AM #9229 quote

grizzly
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Hi Everyone,

Could anyone help me get me started in creating some code ? I’ve looked at many functions (positionperf, countofposition) and can’t figure this one out.

I’m looking to count previous positions. My thinking is to reject “gamblers fallacy”, i.e. Entries are not statistically independent when an overall system is following a trend.

For example, if last my last 3 closed positions in profit were: Long , Long , Long => Count of 3 => The likelihood of a 4th Long resulting in gains is minimal, and therefore avoid taking a 4th Long (given prior conditions are met).

Thanks in advance,

Regards,

06/11/2016 at 5:35 AM #9230 quote
grizzly
Participant

Average
This will only show open positions and not closed.
```
countoflongshares[1]>0 and countoflongshares[2]>0 and countoflongshares[3]>0
```
06/11/2016 at 5:06 PM #9250 quote
Nicolas
Keymaster

Master
I think you can use a loop over the last n ‘positionperf’, to count if their profit were in the same row, and then modify a variable to tell your strategy to trade or not:
```
count = 0

for n = 1 to 3 do
 if positionperf(n)>0 then 
  count=count+1
 endif
next

if count = 3 then 
 allowtrade = 0
else
 allowtrade = 1
endif
```
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Last Position and Performance fallacy

ProOrder: Automated Strategies & Backtesting

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grizzly @grizzly09 Participant

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This topic contains 2 replies,
has 2 voices, and was last updated by Nicolas
9 years, 8 months ago.

Topic Details

Forum:	ProOrder: Automated Strategies & Backtesting
Language:	English
Started:	06/11/2016
Status:	Active
Attachments:	No files

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