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closeError in formula 33 nullifies results.
Posted by zdavid on 11 Dec 2017 at 04:13 GMT
The profitability metric is being incorrectly calculated, greatly inflating the resulting value.
In each of the numerators you have the position's return + the transaction costs. This means you are considering your transaction costs to be profit rather than costs.
The correct calculation subtracts the transaction costs from the position's return.
RE: Error in formula 33 nullifies results.
jyue467 replied to zdavid on 12 Dec 2017 at 14:33 GMT
Dear David,
Thank you very much for pointing out this writing error. Obviously, the operation symbol you pointed out should be minus sign in Formula 33 which is the exact way we used to calculate the return.
I apologize to all the readers for this writing error.
All the best,
J.Yue