Hello everyone, I am developing mean-reversion script on 4 FX pairs (strategy is always one currency long and one currency short). The script relies on 2 parameters and I would like to group trades by these parameters so that I can calculate information ratio for each of the parameter combinations. I am doing this using evaluate() and I found interesting behaviour:
for(all_algos)
{
int algocount = 0;
for(all_trades)
{
algocount++;
}
print(TO_REPORT, "\n%d", algocount);
}
Produces the correct total number of trades (multiple times). However, I would also except that this gives the same (only once):
int algocount = 0;
for(all_algos)
{
for(all_trades)
{
if(TradeAlgo == Algo)
{
algocount++;
}
}
}
print(TO_REPORT, "\n%d", algocount);
The number produced is the total number of long trades only. Is this behaviour intended? How could I achieve the grouping of all trades?
Thanks a lot.