in code.java, why do the for-loops on lines 867 and 935 start at 1?

[ZDavid]

This would mean the first open position never closes throughout the entire simulation.

[jbglattfelder]

The motivation is that we never want to decascade the initial position. It is closed when the PNL condition is satisfied.

[mailfilter888]

Do you know whether the PNL takes into account the transaction costs before reaching the target? For example, if commission was $7 plus there was swap fees of $4 would it take these into account if the profit target was $10 ie the total would need to be $21 gross profit to have a net profit for the EA target of $10?

Otherwise if a position is held onto for a long period (under the model some runners could be held onto for months or years) the swap could cause the profit to be eroded or go into negative.
Thanks

[jbglattfelder]

So this is a toy model where the only transaction fees are the spread you pay. But yes, if you hook this up to a specific exchange that charges fees, you would need to factor that in.

Note however that in the "limit orders" version of the algo you don't pay any spread fees:
https://github.com/AntonVonGolub/Code/tree/master/LimitOrders

[ZDavid]

No transaction costs are accounted for

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On Wed, Mar 21, 2018 at 5:06 AM, mailfilter888 ***@***.***> wrote: Do you know whether the PNL takes into account the transaction costs before reaching the target? For example, if commission was $7 plus there was swap fees of $4 would it take these into account if the profit target was $10 ie the total would need to be $21 gross profit to have a net profit for the EA target of $10? Otherwise if a position is held onto for a long period (under the model some runners could be held onto for months or years) the swap could cause the profit to be eroded or go into negative. Thanks — You are receiving this because you authored the thread. Reply to this email directly, view it on GitHub <#12 (comment)>, or mute the thread <https://github.com/notifications/unsubscribe-auth/ADI6sZWdcSqwE3prAHA-yRsFK0gD023Cks5tghgNgaJpZM4SxlOf> .