Another thing that caught my attention, not sure if this is a bug or just me misunderstanding something.
My understanding is that LifeTime is supposed to set the maximum number of bars that a position is open. I think this parameter used to be called ExitTime, and my understanding was that ExitTime can still be used interchangeably with LifeTime. However when running a simple strategy like this with 1.74:
function run()
{
StartDate = 2010;
EndDate = 2011;
LookBack = 200;
BarPeriod = 240;
vars close = series(priceClose());
vars ll = series(LL(10));
LifeTime = 5;
MaxShort = 1;
if(close[0] < ll[1]) {
enterShort();
}
}
I get this in the performance report
Avg trade bars 7 (+9 / -6)
Max trade bars 26 (4 days)
which is not at all what I would expect.
If however I change LifeTime to ExitTime, I get
Avg trade bars 4 (+4 / -4)
Max trade bars 4 (16 hours)
which is what I expect.
Is this a bug, or did I misunderstand LifeTime and ExitTime? I think at least the manual is LifeTime is very hard to misinterpret: "Trade time limit in bars. Close the trade automatically after the given number of bars (default: 0 for no time limit)."