When trading against the equity curve, one uses it to "skip" trades when its slope is negative or below some averaging point. However, this action compromises future values of the equity curve.
The solution is have one unadulterated equity curve, which is computed independent of all PosSizers. And a second equity curve that includes all influences of PosSizers. The Performance-Visualizer equity-curve plot should include both equity curves so the user can judge the relative influence PosSizers have on the accumulated equity behavior.
The solution is have one unadulterated equity curve, which is computed independent of all PosSizers. And a second equity curve that includes all influences of PosSizers. The Performance-Visualizer equity-curve plot should include both equity curves so the user can judge the relative influence PosSizers have on the accumulated equity behavior.
Rename
Is this a repercussion of the Raw Profit discussion?
https://www.wealth-lab.com/Discussion/Raw-Profit-Mode-simulation-for-WL7-7486
https://www.wealth-lab.com/Discussion/Raw-Profit-mode-missing-in-WL7-6545
https://www.wealth-lab.com/Discussion/Raw-Profit-Mode-simulation-for-WL7-7486
https://www.wealth-lab.com/Discussion/Raw-Profit-mode-missing-in-WL7-6545
The issues discussed in the links of Reply# 1 aren't addressing the problems of trading against the equity curve, which is really what this feature is really about.
We want a PosSizer to skip trades (position size zero) whenever the equity curve warrants it (like when it's negative going or below a set point), but at the same time, we want the future values of the equity curve to be computed without the influences of such a PosSizer so that, when the unadulterated equity curve improves, trading will resume again. I hope this better clarifies the true purpose here. (Forget the Raw Profit mode business; it's not involved.)
We want a PosSizer to skip trades (position size zero) whenever the equity curve warrants it (like when it's negative going or below a set point), but at the same time, we want the future values of the equity curve to be computed without the influences of such a PosSizer so that, when the unadulterated equity curve improves, trading will resume again. I hope this better clarifies the true purpose here. (Forget the Raw Profit mode business; it's not involved.)
I don't pretend to understand the imaginary equity curve given that everything is a PosSizer, even Percent of Equity.
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