I was looking at some simulated system results in a spreadsheet with no real goal in mind when I stumbled on the following...
Specifically, I did a simulation on four stocks that individually had PF's of between 2 and 3 and the system test report from my software reported an overall PF of 2.57. When I put the individual trades report in Excel and did a report based on dates and sum of wins/losses for those individual dates and calculated the PF for those numbers, it came out to 1.38.
Conversely, I did the same with another system and it revised the PF radically upward.
100% of proceeds are always reinvested in these systems so the actual weighting of the elements of this "index" is constantly changing, if it matters.
As I said, I had no real goal in mind at the time, but now I'd sure like to know why that happens.
Thanks in advance.
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