Evaluating the effectiveness of filters in the construction of an ATC - page 8

[Aleksey Vyazmikin]

Denis Glaz:
Why? When it analyses only balance changes and real and potential losses for each change (order) separately. And the code also takes into account the frequency of changes, thus including situations of hedging or locking trades. The only condition is using only one strategy at a time.

If we do not analyse the orders considering their position in the group forming the aggregate position, we will get a mess - obviously, if the position has 10 orders, there is no point in evaluating half of them if trading against the trend - as they will be losing and with a large drawdown, which would not indicate that the other half with similar indicators.