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Monday, June 25, 2007

Calculating the number of open positions

Sometimes it's convenient to know - on average - how many open positions a system had historically. Subscribers trading just a small number of systems might wish to subscribe to systems that spread risk among multiple positions, while those trading a large number of systems might prefer a smaller number of positions per system to keep transaction fees low.

It's quite easy to calculate the average number of open positions using the following formula:

Avg Trade Length / (# trading days / # trades)

Using the stats currently shown by C2, we can check the formula:

for Weekend Trader (which always has 4 open positions) it's:
39.3 / (610 / 62) = 4

for TMG (always 1 open position):
3.5 / (242 / 68) = 1

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