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Direct MessagesDate/Time: Fri, 03 May 2024 12:53:33 +0000
[Locked] - Emailed Question
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| [2015-04-07 21:13:47] |
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By definition the efficiency is a percentage but I am not understanding what is it based on? What is it using to measure the percentage? * Entry Efficiency: A percentage between 0 and 100% identifying how close the entry price came to being the perfect price based on the price range of the symbol being traded, during the duration of the Trade. For example, for a long trade, buying the low tick of the price range that existed during the Trade will be 100% entry efficiency. If a Trade had a Drawdown, the Drawdown reduces the Entry Efficiency. * Exit Efficiency: A percentage between 0 and 100% identifying how close the exit price came to being the perfect price based on the price range of the symbol being traded, during the duration of the Trade. For example, for a long trade, selling the high tick of the price range that existed during the Trade will be 100% exit efficiency. If a Trade had a Runup beyond the final closed profit, the Runup reduces the Exit Efficiency. Sierra Chart Support |
| [2015-04-07 21:55:22] |
| Al SC Developer - Posts: 434 |
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The entry/exit/total efficiency calculations are generally based on the range of the instrument while in the trade (max and min price while position is open). Most simple definitions use min, max, entry, and exit prices for a single trade of quantity one. Because a trade can have multiple fills at different prices and at different times, the value of (maximum runup - maximum drawdown) is used as the denominator of the calculation, which represents the maximum range of the trade. For the entry efficiency, the numerator is the maximum runup. So if you have no drawdown, your entry efficiency would be 100%, and any drawdown would reduce your efficiency because you could have gotten a better price. For exit efficiency, the numerator is closed profit loss minus maximum drawdown. Any excess runup will reduce your efficiency because you could of gotten a better price. For total efficiency, the numerator is closed profit loss and represents how much of the potential range you captured. Any excess runup or drawdown will reduce the efficiency. |
| [2019-11-16 21:19:22] |
| j4ytr4der_ - Posts: 918 |
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I'm interested in knowing how long after the close of a trade, the exit efficiency calculation looks at? Also I'm wondering how to make sense of Exit Efficiency in the case of a system intended to capture individual swings. I'm currently refining an approach designed to capture these separate swings, rather than attempt to capture the "whole move" in one trade and take on the risk of drawdown associated with that. But I could get out at the very first sign of reversal at say 6 ticks from the top of the swing, if the Exit Efficiency were to use say the next 20 bars to see what the potential might have been for the trade, it would incorrectly interpret that I could have held on longer, when in fact I had no intention or expectation of holding on longer. Hope I'm making sense here. Anyway, just interested to know more specifics about "If a Trade had a Runup beyond the final closed profit, the Runup reduces the Exit Efficiency." |
| [2019-11-17 00:32:50] |
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I'm interested in knowing how long after the close of a trade, the exit efficiency calculation looks at? Not at all.
Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2019-11-17 00:32:59
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| [2019-11-17 01:36:10] |
| j4ytr4der_ - Posts: 918 |
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Then what does this statement from the documentation mean? If a Trade had a Runup beyond the final closed profit, the Runup reduces the Exit Efficiency.
Not looking at any length past the exit, defeats the purpose of analyzing exit efficiency. The whole point is to see if you should be holding longer, and the only way to know that is to look at what came after.
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| [2019-11-17 03:42:15] |
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We are locking this thread. You are looking at old or unrelated information. The descriptions can be found here: Trade Activity Log: Trades Fields Descriptions Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2019-11-17 03:44:16
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